On biases in tests of the expectations hypothesis of the term structure of interest rates-Reference-Cited by-同舟云学术

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On biases in tests of the expectations hypothesis of the term structure of interest rates

Published:1997-06 Issue:3 Volume:44 Page:309-348
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Bekaert Geert,Hodrick Robert J.,Marshall David A.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference41 articles.

1. Heteroskedasticity and autocorrelation consistent covariance estimation;Andrews;Econometrica,1991

2. Emerging equity market volatility;Bekaert;Journal of Financial Economics,1997

3. Peso problem explanations for term structure anomalies;Bekaert,1995

4. On biases in tests of expectations hypothesis of the term structure of interest rates;Bekaert;NBER technical working paper, No. 191,1996

5. Model specification tests: a simultaneous approach;Bera;Journal of Econometrics,1982

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