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Details for article 138 of 146 found articles
| Title: |
Time varying term premia and risk: the case of the Spanish interbank money market |
| Author: |
Fernandez, M. Dolores Robles De Frutos, Rafael Florez |
| Appeared in: |
Applied financial economics |
| Paging: | Volume 10 (2000) nr. 3 pages 243-260 |
| Year: |
2000-06-01 |
| Contents: |
This paper examines some standard procedures for evaluating the importance of risk in explaining time varying term premia, in the term structure of interest rates. It highlights their shortcomings and proposes an alternative VARMA approach for dealing with this problem. The procedure is illustrated with the analysis of risk in explaining the behaviour of two important term premia in the Spanish interbank money market. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 138 of 146 found articles
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