Andreasen, Martin M.; Christensen, Bent Jesper - In: Journal of Econometrics 184 (2015) 2, pp. 420-451
This paper suggests a new approach for estimating linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors which therefore may be non-Gaussian. The novelty of our approach is to use many observables (yields or bond prices) in...