The persistence in volatility of the US term premium 1970-1986
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- Tzavalis, E. & Wickens, M.R., 1994. "The Persistence in Volatility of the US Term Premium 1970-1986," Discussion Papers 9409, University of Exeter, Department of Economics.
References listed on IDEAS
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Citations
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- Fang, WenShwo & Miller, Stephen M., 2009.
"Modeling the volatility of real GDP growth: The case of Japan revisited,"
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- WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics.
- WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008.
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- WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2007. "Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models," Working papers 2007-20, University of Connecticut, Department of Economics, revised Mar 2008.
- Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011.
"Time-variation in term premia: International survey-based evidence,"
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- Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
- Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
- Ekaterini Tsouma, 2007. "Stock return dynamics and stock market interdependencies," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 805-825.
- Till Strohsal & Enzo Weber, 2014.
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- Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
- Strohsal, Till & Weber, Enzo, 2011. "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers 2011-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Enzo Weber & Jürgen Wolters, 2013.
"Risk and Policy Shocks on the US Term Structure,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
- Weber, Enzo & Wolters, Jürgen, 2010. "Risk and Policy Shocks on the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 438, University of Regensburg, Department of Economics.
- Henry, O.T., 1998. "The Volatility of U.S. Term Structure Term Premia 1952-1991," Department of Economics - Working Papers Series 620, The University of Melbourne.
- George Kapetanios & Elias Tzavalis, 2006.
"Stochastic Volatility Driven by Large Shocks,"
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- George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
- Choudhry, Taufiq, 2016. "Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 303-311.
- Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
- K. Azim Özdemir & Özgür Özel, 2011. "Regime changes in monetary policy and the Expectation Hypothesis of the term structure in Turkey," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 261-274, May.
- Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.
- Enzo Weber & Jürgen Wolters, 2012.
"The US term structure and central bank policy,"
Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 41-45, January.
- Weber, Enzo & Wolters, Jürgen, 2009. "The US Term Structure and Central Bank Policy," University of Regensburg Working Papers in Business, Economics and Management Information Systems 436, University of Regensburg, Department of Economics.
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More about this item
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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