Kniha momentálne nie je na sklade
Parametre
Viac o knihe
Using conventional techiques, several authors have rejected the rational expectations hypothesis at the long end of the German term structure of interest rates. The aim of this work is to challenge this finding with the help of robust estimations and testing methods. For this purpose, we extensively review the growing literature on robust unit roots tests and conduct a thorough Monte-Carlo study which yields evidences in favour of test statistics that are based on the assumption of an underlying Student's distribution.
Nákup knihy
Analysis of the German term structure with robust cointegration methods, Kai Carstensen
- Jazyk
- Rok vydania
- 2001
Akonáhle sa objaví, pošleme vám e-mail.
Doručenie
- V rámci SR doručíme do 2 pracovných dní
Platobné metódy
Navrhnúť zmenu
- Titul
- Analysis of the German term structure with robust cointegration methods
- Jazyk
- anglicky
- Autori
- Kai Carstensen
- Vydavateľ
- Pro Business
- Rok vydania
- 2001
- ISBN10
- 3934529658
- ISBN13
- 9783934529656
- Kategórie
- Skriptá a vysokoškolské učebnice
- Anotácia
- Using conventional techiques, several authors have rejected the rational expectations hypothesis at the long end of the German term structure of interest rates. The aim of this work is to challenge this finding with the help of robust estimations and testing methods. For this purpose, we extensively review the growing literature on robust unit roots tests and conduct a thorough Monte-Carlo study which yields evidences in favour of test statistics that are based on the assumption of an underlying Student's distribution.