The advantages of using excess returns to model the term structure

Golinski, Adam orcid.org/0000-0001-8603-1171 and Spencer, Peter orcid.org/0000-0002-5595-5360 (2017) The advantages of using excess returns to model the term structure. Journal of Financial Economics. pp. 163-181. ISSN 0304-405X

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Copyright, Publisher and Additional Information: © 2017, Elsevier B.V. or its licensors or contributors.This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: term structure,excess return framework,long memory
Dates:
  • Published (online): 8 May 2017
  • Published: July 2017
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 15 May 2017 11:40
Last Modified: 31 May 2020 11:01
Published Version: https://doi.org/10.1016/j.jfineco.2017.05.001
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jfineco.2017.05.001

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