Time-varying excess returns on UK government bonds: A non-linear approach

Journal of Banking and Finance

Volumn 28, Issue 1, 2004, Pages 45-62

  Lekkos, Ilias ^a   Milas, Costas ^b  

^a BANK OF ENGLAND   (United Kingdom)

^b BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Excess returns; Interest rates; Regime switching models; Smooth transition

Indexed keywords

EID: 0242551966     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00329-1     Document Type: Article

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