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

Bibliografiske detaljer
Hovedforfatter: Ang, Andrew
Andre forfattere: Piazzesi, Monica
Format: Bog
Sprog:English
Udgivet: Cambridge National Bureau of Economic Research 2001.
Serier:NBER working paper series no.8363
Fag:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).