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

Detalles Bibliográficos
Autor Principal: Ang, Andrew
Outros autores: Piazzesi, Monica
Formato: Libro
Idioma:English
Publicado: Cambridge National Bureau of Economic Research 2001.
Series:NBER working paper series no.8363
Subjects:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).