Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]
(1987) exponential components framework for estimating the yield
curve. Similar to Duffee (2002), the improvement over … rate curve to approximate the yield curve
(15) r
e
j
e
j
e
t
j
tt
j
t
t
j
t
j
tt
t
=+
−F
H
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I
K
J
+
−
−
F
H
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J … yield curve. In contrast, the factor loading on β
3t
rises
from zero and then decays back to zero. Hence, Diebold and Li …