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

Bibliografiska uppgifter
Huvudupphovsman: Ang, Andrew
Övriga upphovsmän: Piazzesi, Monica
Materialtyp: Bok
Språk:English
Publicerad: Cambridge National Bureau of Economic Research 2001.
Serie:NBER working paper series no.8363
Ämnen:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).