Macroeconomic Sources of Risk in the Term Structure
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.0022-2879.2007.00009.x/fullpdf
Reference51 articles.
1. A No-arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables;Ang;Journal of Monetary Economics,2003
2. On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates;Bekaert;Journal of Financial Economics,1997a
3. Bekaert , Geert Robert J. Hodrick David A. Marshall 1997b ‘Peso Problem’ Explanations for Term Structure Anomalies
4. ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence;Bollerslev;Journal of Econometrics,1992
5. Stock Returns and the Term Structure;Campbell;Journal of Financial Economics,1987
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