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- W1998658107 abstract "Abstract Everyone has their explanation of interest rates. The efficient market model has at least three forms for predicting next period's interest rate. We use the intuition of a successful threshold model for predicting turning points in the Aaa bond rates to formulate a test of the semistrong form of the efficient markets hypothesis. A Granger causality test is used to demonstrate the inadequacy of the semistrong form model. Out of sample forecasts, our model outperformed the weak form model for Aaa rates and AAaa rates on the basis of root mean-squared error." @default.
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- W1998658107 title "Bond rates and causality" @default.
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- W1998658107 doi "https://doi.org/10.1016/0164-0704(88)90032-8" @default.
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