مرکز منطقه ای اطلاع رساني علوم و فناوري - When units roots matter: excess volatility and excess smoothness of long-term interest rates

Title of article :

When units roots matter: excess volatility and excess smoothness of long-term interest rates

Author/Authors :

Peter C. Schotman، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2001

Pages :

From page :

669

To page :

694

Keywords :

Cointegration , Efficient markets , Term structure , Unit roots , Vector autoregression , Volatility

Journal title :

Journal of Empirical Finance

Serial Year :

2001

Journal title :

Journal of Empirical Finance

Record number :

130703

Link To Document :