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Unobservable cyclical components in term premia of fixed-term financial instruments

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  • McDonald, A.David
  • Hurn, A.Stan

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  • McDonald, A.David & Hurn, A.Stan, 1995. "Unobservable cyclical components in term premia of fixed-term financial instruments," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 403-409.
    • Handle: RePEc:eee:matcom:v:39:y:1995:i:3:p:403-409
    DOI: 10.1016/0378-4754(94)00091-1
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    1. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
    2. Bera, Anil K & Higgins, Matthew L & Lee, Sangkyu, 1992. "Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 133-142, April.
    3. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
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