Imperial College London
Portrait Picture

Emeritus ProfessorKarimAbadir

Business School

Emeritus Professor in Financial Econometrics
 
 
 
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Contact

 

k.m.abadir

 
 
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Location

 

3.0353 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inbook{Abadir:2022:10.1108/S0731-90532021000043B011,
author = {Abadir, KM and Atanasova, C},
booktitle = {Advances in Econometrics, Volume 43B: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology:},
doi = {10.1108/S0731-90532021000043B011},
editor = {Chudik and Hsiao and Timmermann},
pages = {255--267},
publisher = {Emerald},
title = {Where (and by how much) does a theory break down? With an application to the expectation hypothesis.},
url = {http://dx.doi.org/10.1108/S0731-90532021000043B011},
year = {2022}
}
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RIS format (EndNote, RefMan)

TY  - CHAP
AB  - The authors provide new evidence in favor of the expectation hypothesis (EH) as a long-run theory of the term structure of interest rates. Using nonparametric techniques first, the authors show that the results of conventional tests that reject EH are strongly affected by the presence of extreme observations – only a handful in the case of longer maturities. The authors then provide a new general methodology that determines the number of outliers causing any theory to fail, and their approach quantifies the extent of this failure.
AU  - Abadir,KM
AU  - Atanasova,C
DO  - 10.1108/S0731-90532021000043B011
EP  - 267
PB  - Emerald
PY  - 2022///
SN  - 978-1-80262-066-5
SP  - 255
TI  - Where (and by how much) does a theory break down? With an application to the expectation hypothesis.
T1  - Advances in Econometrics, Volume 43B: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology:
UR  - http://dx.doi.org/10.1108/S0731-90532021000043B011
UR  - https://www.emerald.com/insight/content/doi/10.1108/S0731-90532021000043B011/full/html
UR  - http://hdl.handle.net/10044/1/98127
ER  -
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