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• W1971036214 abstract "Recent studies suggest that the term premia within the US Term Structure of Interest Rates may be adequately characterized as univariate GARCH(1, 1)-M processes, with highly persistent or even potentially explosive conditional variances. Tzavalis and Wickens (Economics Letters, 49, 1995) using data over the period 1970–1986 argue that such findings may be the result of the failure of the GARCH-M model to allow for the 1979–82 change in US monetary policy. Using an alternative approach, the results in this paper suggest that the conclusion of Tzavalis and Wickens may not be independent of the sample period considered. However the GARCH-M model provides implausible estimates of the term premia when estimated over the full sample period." @default.
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• W1971036214 date "1999-06-01" @default.
• W1971036214 modified "2023-09-24" @default.
• W1971036214 title "The volatility of US term structure term premia 1952 - 1991" @default.
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• W1971036214 doi "https://doi.org/10.1080/096031099332339" @default.
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