Expectation puzzles, time-varying risk premia, and dynamic models of the term structure

Expectation puzzles, time-varying risk premia, and dynamic models of the term structure

Détails bibliographiques
Auteur principal: Dai, Qiang
Autres auteurs: Singleton, Kenneth J.
Format: Livre
Langue:English
Publié: Cambridge National Bureau of Economic Research 2001.
Collection:NBER working paper series no.8167
Sujets:
Rate of return > Forecasting > Economic models.
Bonds > Prices > Forecasting > Econometric models.
Interest rates > Forecasting > Econometric models.