References


Ayuso, Juan, Alfonso Novales y María L. de la Torre (1989), "¿Incorporan los Tipos del Interbancario una Evaluación del Riesgo?" Documento de trabajo, No. 90-08, FEDEA.

Black, Fisher (1976), "Studies in Stock Price Volatility changes", Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association: 177-181.

Box, G.E.P. y G.M. Jenkins (1970), Time Series Analysis Forecasting and control, San Francisco: Holden Day.

Engle, Robert F., David M. Lilien y Russell P. Robins (1987), "Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model", Econometrica, Vol.55, No. 2: 391-407.

Fama, Eugene F. (1976), "Inflation Uncertainty and Expected Return on Treasury Bills", Journal of Political Economy, Vol. 84: 427-448.

Freixas, Xavier y Alfonso Novales (1991), "Primas de Riesgo y Cambio de Habitat", Documento de trabajo, No. 91-08, FEDEA.

Friedman, Benjamin M. (1980), "Survey Evidence on the 'Rationality' of Interest Rate Expectations", Journal of Monetary Economics 6: 453-465.

Granger, Clive W.J. (1981), "Some Properties of Time Series Data and Their Use in Econometric Model specification", Journa1 of Econometrics 16: 121-130.

Hall, Anthony D., Heather M. Anderson y Clive W.J. Granger (1992), "A cointegration Analisis of Treasury Bill Yields", The Review of Economics and statistics, Vol. 74, No. 1: 116-125.

Hicks, J.R. (1939), Value and Capital, Oxford university Press.

Jenkins, G.M. y A.S. Alavi (1981), "Some Aspects of Modellinq and Forecasting Multivariate Time Series", Journal of Time Series Analysis 2: 1-47.

Jones, David S. y V. Vance, Roley (1983), "Rational Expectations and the Expectation Model of the Term Structure", Journal of Monetary Economics 12: 453-465.

Kane, Edward J. y Burton, Malkiel (1967), "The Term Structure of Interest Rates: An Analysis of a survey of Interest Rate Expectations", Review of Economics and statistics 69: 343-55.

Mankiw, N.G. Y L.H. Sumrners (1984), "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?", BrQokings Papers of Economic Activity, Vol. 00: 223-242.

Mcculloch, J. Huston (1975), "An Estimate of the Liquidity Premium", Journal of Political Economy 83: 95-119.

Meiselman, David (1962), The Term structure of Interest Rates, Englewood Cliffs, N.J.: Prentice-Hall.

Modigliani, Franco y Robert J. Shil1er (1973), "Inflation, Rational Expectations and the Term Structure of Interest Rates", Economica, 40: 12-43.

Modigliani, Franco y Richard Sutch (1966) "Innovations in Interest Rate Policy", American Economic Review. Papers and Proc. 56: 178-97.

Zellner, Arnold y Franz Palm (1974), "Time series Analysis and Simultaneous Equation Econometric Models", Journal of Econometrics 2: 17-54.