Details about Gary Stephen Shea

Access statistics for papers by Gary Stephen Shea.

Last updated 2013-10-12. Update your information in the RePEc Author Service.

Short-id: psh154

Working Papers

2004

1. Rational Pricing of Options during the South Sea Bubble
   Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group

1985

2. Long memory models of interest rates, the term structure, and variance bounds tests
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2007

1. Financial market analysis can go mad (in the search for irrational behaviour during the South Sea Bubble)
   Economic History Review, 2007, 60, (4), 742-765 View citations (18)

1992

2. Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors
   Journal of Business & Economic Statistics, 1992, 10, (3), 347-66 View citations (91)

1991

3. Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure
   Empirical Economics, 1991, 16, (3), 287-312 View citations (60)

1989

4. Ex-Post Rational Price Approximations and the Empirical Reliability of the Present-Value Relation
   Journal of Applied Econometrics, 1989, 4, (2), 139-59 View citations (1)

1985

5. Interest Rate Term Structure Estimation with Exponential Splines: A Note
   Journal of Finance, 1985, 40, (1), 319-25 View citations (29)

1984

6. Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations
   Journal of Financial and Quantitative Analysis, 1984, 19, (3), 253-269 View citations (62)

1979

7. Hypothesis testing based on goodness-of-fit in the moving average time series model
   Journal of Econometrics, 1979, 10, (2), 221-226