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dc.contributor.authorMylonidis, Nikolaos-
dc.date.accessioned2018-06-28T07:36:33Z-
dc.date.available2018-06-28T07:36:33Z-
dc.date.issued2006-
dc.identifier.citationMylonidis, N. (2006). Time-varying risk premia in the single European treasury bill market. European Research Studies Journal, 9(1-2), 65-84.en_GB
dc.identifier.issn11082976-
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/31453-
dc.description.abstractThis paper investigates the validity of the expectations hypothesis (EH) with time-varying, albeit stationary, term premia in the Ecu Treasury bill market. The analysis utilises the term premium factor representation proposed by Tzavalis and Wickens (1997) and the modified VAR approach by Cuthbertson et al. (1997). The findings indicate that once time-varying term premia are accounted for, estimated models cannot reject the predictions of the EH. However, these term premia do not exhibit strong persistence. The rejection of the spread restriction for (n,m)=(26-week,13-week) may be due to a small I(1) term premium and/or a slight misalignment of investment horizons.en_GB
dc.language.isoenen_GB
dc.publisherUniversity of Piraeus. International Strategic Management Associationen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectMonetary policy -- Econometric modelsen_GB
dc.subjectRisk -- Mathematical modelsen_GB
dc.subjectTreasury bills -- Europeen_GB
dc.titleTime-varying risk premia in the single European treasury bill marketen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.publication.titleEuropean Research Studies Journalen_GB
Appears in Collections:European Research Studies Journal, Volume 9, Issue 1-2

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