Bond Term Premium Analysis in the Presence of Multiple Regimes

Author:

Guido Renato,Walsh Kathleen D.

Publisher

Elsevier BV

Reference40 articles.

1. Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts;J H Albert;Journal of Business & Economic Statistics,1993

2. Time varying risk premium and the predictive power of the Australian term structure of interest rates;Lakshman Alles;Accounting and Finance,1995

3. Modelling Australian bank bill rates: A Kalman Filter Approach;Ramaprasad Bhar;Accounting and Finance,1996

4. Ex Ante Bond Returns and the Liquidity Preference Hypothesis;J Boudoukh;Journal of Finance,1999

5. The Dynamics of the Short term interest rate;Timothy J Brailsford;Australian Journal of Management,1998

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