Do stationary risk premia explain it all?: Evidence from the term structure
- 30 April 1994
- journal article
- Published by Elsevier in Journal of Monetary Economics
- Vol. 33 (2), 285-318
- https://doi.org/10.1016/0304-3932(94)90004-3
Abstract
No abstract availableKeywords
This publication has 17 references indexed in Scilit:
- Yield Spreads and Interest Rate Movements: A Bird's Eye ViewThe Review of Economic Studies, 1991
- Statistical Inference in Instrumental Variables Regression with I(1) ProcessesThe Review of Economic Studies, 1990
- Risk premiums in the term structure: Evidence from artificial economiesJournal of Monetary Economics, 1989
- Cointegration and Tests of Present Value ModelsJournal of Political Economy, 1987
- The Bias of a Heteroskedasticity Consistent Covariance Matrix EstimatorEconometrica, 1987
- A Defense of Traditional Hypotheses about the Term Structure of Interest RatesThe Journal of Finance, 1986
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- Term premiums in bond returnsJournal of Financial Economics, 1984
- The information in the term structureJournal of Financial Economics, 1984
- A Re-Examination of Traditional Hypotheses about the Term Structure of Interest RatesThe Journal of Finance, 1981