Diebold, Francis X. (contributor); … - 2004 - rev
estimate a model that summarizes the yield curve using latent factors (specifically, level,
slope, and curvature) and also …, macroeconomic fundamentals, factor model, state-space model
JEL Codes: G1, E4, C5
Acknowledgments: We thank the Editor (Giampiero … yield curve model that integrates macroeconomic and financial factors.
Many other recent papers have also modeled the yield …