A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Podrobná bibliografie
Hlavní autor: Ang, Andrew
Další autoři: Piazzesi, Monica
Médium: Kniha
Jazyk:English
Vydáno: Cambridge National Bureau of Economic Research 2001.
Edice:NBER working paper series no.8363
Témata:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).