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

Bibliografske podrobnosti
Glavni avtor: Ang, Andrew
Drugi avtorji: Piazzesi, Monica
Format: Knjiga
Jezik:English
Izdano: Cambridge National Bureau of Economic Research 2001.
Serija:NBER working paper series no.8363
Teme:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).