Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
Scott Joslin; Anh Le; Kenneth J. Singleton
| Year of publication: |
2013
|
|---|---|
| Authors: | Joslin, Scott ; Le, Anh ; Singleton, Kenneth J. |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 109.2013, 3, p. 604-622
|
| Subject: | Macro-finance term structure model | Filtering | No-arbitrage model | Factor model | Schätzung | Estimation | Zinsstruktur | Yield curve | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010205374