This paper provides extensions to existing procedures for representing one-factor no-arbitrage models of the short rate in the form of a tree. It allows a wide range of drift functions for the short rate to be used in conjunction with a wide range of volatility assumptions. It shows that, if the...

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield...

In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic conditions and rising short- term interest rates, a situation that then-Federal Reserve Board Chairman Alan Greenspan dubbed a "conundrum." We document the extent and timing of this conundrum using two...