4 Modeling the term structure
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Nonparametric cointegration analysis of fractional systems with unknown integration orders
2010, Journal of EconometricsCitation Excerpt :The restrictions laid down by the expectations hypothesis in terms of cointegration rank are tested within the fractional cointegration framework. For a general overview of term structure theory, see e.g. the survey by Pagan et al. (1996). In Fig. 1 the four interest rates are plotted.
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2010, Handbook of Financial Econometrics, Vol 1The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach
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2005, Physica A: Statistical Mechanics and its ApplicationsAn interest rates cluster analysis
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* We are grateful for comments on previous versions of this paper by John Robertson, Peter Phillips and Ken Singleton. All computations were performed with a beta version of MICROFIT 4 and GAUSS 3.2
Copyright © 1996 Published by Elsevier B.V.