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A nonparametric investigation of the 90-day t-bill rate

  • Published:1997-01 Issue:2 Volume:6 Page:187-198
  • ISSN:1058-3300
  • Container-title:Review of Financial Economics
  • language:en
  • Short-container-title:Review of Financial Economics

Author:

Barkoulas John T.,Baum Christopher F.,Onochie Joseph

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. Stock Prices under Time Varying Dividend Risk: An Exact Solution in an Infinite Horizon General Equilibrium Model;Abel;Journal of Monetary Economics,1988

2. Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the U.S. Treasury Bill Market;Anderson,1994

3. The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices;Baldwin;NBER working paper no. 2677,1988

4. Generalized Autoregressive Conditional Heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. A Test for Independence Based on the Correlation Dimension;Brock,1987

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1. Forecasting with the Nonparametric Exclusion-from-Core Inflation Persistence Model Using Real-Time Data;International Advances in Economic Research;2019-02

2. Interest rate prediction: a neuro-hybrid approach with data preprocessing;International Journal of General Systems;2014-02-05

3. Nonparametric prediction in time series analysis: some empirical results;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2010

4. Are there nonlinearities in short-term interest rates?;Accounting and Finance;2006-03

5. On the use of Nearest Neighbors in finance;Finance;2005-12-01
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