Rethinking cointegration and the expectation hypothesis of the term structure
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DOI: 10.1016/j.jempfin.2017.09.011
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- Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
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More about this item
Keywords
Cointegration; Term structure; Expectation hypothesis; Error correction model;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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