Unit roots and the estimation of interest rate dynamics
- 30 June 1996
- journal article
- Published by Elsevier in Journal of Empirical Finance
- Vol. 3 (2) , 215-238
- https://doi.org/10.1016/0927-5398(95)00018-6
Abstract
No abstract availableKeywords
All Related Versions
This publication has 23 references indexed in Scilit:
- The term structure of real interest rates and the Cox, Ingersoll, and Ross modelJournal of Financial Economics, 1994
- Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest RatesThe Journal of Fixed Income, 1993
- An Empirical Comparison of Alternative Models of the Short-Term Interest RateThe Journal of Finance, 1992
- The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest RatesThe Journal of Finance, 1986
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- An Equilibrium Model of Bond Pricing and a Test of Market EfficiencyJournal of Financial and Quantitative Analysis, 1982
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit RootEconometrica, 1981
- Testing For Unit Roots: 1Econometrica, 1981
- A continuous time approach to the pricing of bondsJournal of Banking & Finance, 1979
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979