Joslin, Scott; Le, Anh; Singleton, Kenneth J. - In: Journal of Financial Econometrics 11 (2013) 4, pp. 581-609
This article develops a new family of Gaussian macro-dynamic term structure models (MTSMs) in which bond yields follow a low-dimensional factor structure and the historical distribution of bond yields and macroeconomic variables is characterized by a vector-autoregression with order p 1. Most...