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Volumn 29, Issue 9, 1997, Pages 1239-1247

Estimation of the specification error in the expectations theory of the term structure

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EID: 0005833104     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036849700000014     Document Type: Article
Times cited : (4)

References (21)
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    • Estimating time varying risk premia in the term structure: The ARCH-M model
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  • 8
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    • The information in the term structure
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    • Fama, E.F.1    Blume, M.E.2
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    • On the number of common unit roots in the term structure of interest rates
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    • R. J. Shiller, The term structure of interest rates, B.M. Friedman and F.H. Hahn (eds), North-Holland, Amsterdam
    • McCulloch, J. H. (1990) Appendix B: U.S. term structure data, 1946-87, in R. J. Shiller, The term structure of interest rates, in Handbook of Monetary Economics, B.M. Friedman and F.H. Hahn (eds), North-Holland, Amsterdam.
    • (1990) Handbook of Monetary Economics
    • McCulloch, J.H.1
  • 14
    • 0001523171 scopus 로고
    • Do long-term interest rates overreact to short-term interest rates?
    • Mankiw, N. G. and Summers, L. H. (1984) Do long-term interest rates overreact to short-term interest rates?, Brookings Papers on Economic Activity, 1, 223-42.
    • (1984) Brookings Papers on Economic Activity , vol.1 , pp. 223-242
    • Mankiw, N.G.1    Summers, L.H.2
  • 15
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    • Comment, O. J. Blanchard and S. Fischer (eds), MIT Press, Cambridge
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  • 17
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    • The information in the term structure: Some further results
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    • (1990) Handbook of Monetary Economics
    • Shiller, R.J.1


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