Diebold, Francis X. (contributor); … - 2004 - rev
The Rodney L. White Center for Financial Research
The Macroeconomy and the Yield Curve …
16-04
The Macroeconomy and the Yield Curve:
A Dynamic Latent Factor Approach
Francis X. Diebold … estimate a model that summarizes the yield curve using latent factors (specifically, level,
slope, and curvature) and also …