Term premium in a fractionally cointegrated yield curve
Year of publication: |
2023
|
---|---|
Authors: | Abbritti, Mirko ; Carcel, Hector ; Gil-Alaña, Luis A. ; Moreno, Antonio |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 149.2023, p. 1-17
|
Subject: | Fractional cointegration | International yield curves | Long-run relation | Term premium | U.S. yield curve | Zinsstruktur | Yield curve | Kointegration | Cointegration | USA | United States | Schätzung | Estimation | Öffentliche Anleihe | Public bond | Risikoprämie | Risk premium | Rendite | Yield | Kapitaleinkommen | Capital income | Deutschland | Germany |
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