09.05.2015 Views

estructura temporal de los tipos de interés: teoría y evidencia empírica

estructura temporal de los tipos de interés: teoría y evidencia empírica

estructura temporal de los tipos de interés: teoría y evidencia empírica

SHOW MORE
SHOW LESS

Create successful ePaper yourself

Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.

REVISTA ASTURIANA DE ECONOMÍA - RAE Nº 27 2003<br />

Driffill, J.; Psaradakis, Z. y Sola, M. (1997): “A reconciliation of some<br />

paradoxical empirical results on the expectations mo<strong>de</strong>l of the term<br />

structure”, Oxford Bulletin of Economics and Statistics, vol. 59, nº 1,<br />

pp. 29-42.<br />

E<strong>de</strong>rington, L. H. y Huang, C. H. (1995): “Parameter uncertainty and the<br />

rational expectations mo<strong>de</strong>l of the term structure”, Journal of Banking<br />

and Finance, vol. 19, nº 2, pp. 207-223.<br />

Engle, R. F. y Ng, V. K. (1993): “Time-varying volatility and the dynamic<br />

behavior of the term structure”, Journal of Money, Credit and Banking,<br />

vol. 25, nº 3-1, pp. 337-349.<br />

Engle, R. F.; Lilien, D. M. y Robins, R. P. (1987): “Estimating time varying<br />

risk premia in the term structure: The ARCH-M mo<strong>de</strong>l”, Econometrica,<br />

vol. 55, nº 2, pp. 391-407.<br />

Engle, R. F.; Ng, V. K. y Rothschild, M. (1990): “Asset pricing with factor<br />

ARCH covariance structure”, Journal of Econometrics, vol. 45, nº 1-2,<br />

pp. 213-238.<br />

Engsted, T. (1996): “The predictive power of the money market term structure”,<br />

International Journal of Forecasting, vol. 12, nº. 2, pp. 289-295.<br />

Engsted, T. y Tanggaard, C. (1994): “Cointegration and the US term structure”,<br />

Journal of Banking and Finance, vol. 18, nº 1, pp. 167-181.<br />

Engsted, T. y Tanggaard, C. (1995): “The predictive power of yield spreads<br />

for future interest rates: evi<strong>de</strong>nce from the danish term structure”,<br />

Scandinavian Journal of Economics, vol. 97, nº 1, pp. 145-159.<br />

Evans, M. D. D. y Lewis, K. K. (1994): “Do stationary risk premia expain it<br />

all? Evi<strong>de</strong>nce from the term structure”, Journal of Monetary Economics,<br />

vol. 33, nº 2, pp. 285-318.<br />

Ezquiaga, I. (1990): “El análisis <strong>de</strong> la <strong>estructura</strong> <strong>temporal</strong> <strong>de</strong> <strong>los</strong> <strong>tipos</strong> <strong>de</strong> interés<br />

en el mercado español”, Información Comercial Española, nº 668,<br />

pp. 119-140.<br />

Ezquiaga, I. y Freixas, X. (1991): “El mercado repo <strong>de</strong> Letras <strong>de</strong>l Tesoro:<br />

Análisis empírico”, Documento <strong>de</strong> Trabajo nº 89-09, vesr. 1991,<br />

FEDEA.<br />

Fama, E. F. (1976a): “Inflation uncertainty and expected return on Treasury<br />

bills”, Journal of Political Economy, vol. 84, nº 3, pp. 135-162.<br />

Fama, E. F. (1976b): “Forward rates as predictors of future spot rates”,<br />

Journal of Financial Economics, vol. 3, nº 4, pp. 316-377.<br />

Fama, E. F. (1984a): “The information in the term structure”, Journal of<br />

Financial Economics, vol. 13, nº 4, pp. 509-528.<br />

39

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!