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» Resultado: 3 registros
| Registro 1 de 3 | |
| Autor: | Bekaert, Geert - Hodrick, Robert-J - Marshall, David-A - |
| Título: | On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates |
| Fuente: | Journal of Financial Economics. v.44, n.3. Elsevier Science |
| Páginas: | pp. 309-48 |
| Año: | June 1997 |
| Resumen: | The authors document extreme bias and dispersion in the small-sample distributions of four standard regression-based tests of the expectations hypothesis of the term structure of interest rates. The biases arise because of the extreme persistence in short interest rates. They derive approximate analytic expressions for the biases under a simple first-order autoregressive data generating process for the short rate. The authors then conduct Monte Carlo experiments based on a bias-adjusted first-order autoregressive process for the short rate and for a more realistic bias-adjusted VAR-GARCH model incorporating the short rate and three term spreads. Conducting inference with the small-sample distributions of test statistics rather than with their asymptotic distributions provides a more consistent rejection of the expectations hypothesis. Plausible sources of measurement error in short and long yields do not salvage the expectations hypothesis. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 3 | |
| Autor: | Flood, Robert-P - Hodrick, Robert-J - |
| Título: | On Testing for Speculative Bubbles |
| Fuente: | Journal of Economic Perspectives. v.4, n.2. American Economic Association |
| Páginas: | pp. 85-101 |
| Año: | spring 1990 |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 3 | |
| Autor: | Hodrick, Robert-J - |
| Título: | Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? |
| Fuente: | American Economic Review. v.80, n.2. American Economic Association |
| Páginas: | pp. 186-91 |
| Año: | May 1990 |
| Solicitar por: | HEMEROTECA A + datos de Fuente |
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