Article ID Journal Published Year Pages File Type
5083844 International Review of Economics & Finance 2013 11 Pages PDF
Abstract
► We extend the empirical analysis of the EH of the term structure of interest rates. ► We use recent cointegrated regression models with multiple structural changes. ► We use a long span of the data. ► We use the Spanish term structure of interest rates as a case study.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974-2010
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