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

Bibliographische Detailangaben
1. Verfasser: Dai, Qiang
Weitere Verfasser: Singleton, Kenneth J.
Format: Buch
Sprache:English
Veröffentlicht: Cambridge National Bureau of Economic Research 2001.
Schriftenreihe:NBER working paper series no.8167
Schlagworte:
Rate of return > Forecasting > Economic models.
Bonds > Prices > Forecasting > Econometric models.
Interest rates > Forecasting > Econometric models.