Diebold, Francis X. (contributor); … - 2003 - [Elektronische Ressource]
higher shock variance. Interestingly, slope and curvature appear
related at business cycle frequencies. The simple … correlation is 0.25, but the correlation at business cycle
frequencies is 0.55 and at very low frequencies is -0.07.
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In Figure … Latent Variables,” Journal of Monetary Economics, 50, 745-787.
Ang, A., Piazzesi, M. And Wei, M. (2003), “What Does the Yield …