Uncertainty and implied variance bounds in long-memory models of the interest rate term structure
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/BF01206277.pdf
Reference43 articles.
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4. Campbell JY, Shiller RJ (1987) Cointegration and tests of present value models. Journal of Political Economy 95:1062?1088
5. Cargill TF (1975) The term structure of interest rates: A test of the expectations hypothesis. Journal of Finance 30:761?771
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