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

Bibliographic Details
Main Author: Ang, Andrew
Other Authors: Piazzesi, Monica
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 2001.
Series:NBER working paper series no.8363
Subjects:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).