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

Détails bibliographiques
Auteur principal: Ang, Andrew
Autres auteurs: Piazzesi, Monica
Format: Livre
Langue:English
Publié: Cambridge National Bureau of Economic Research 2001.
Collection:NBER working paper series no.8363
Sujets:
Bonds > Prices > Econometric models.
Vector analysis.
Autoregression (Statistics).