Kim, Don H.; Orphanides, Athanasios - In: Journal of Financial and Quantitative Analysis 47 (2012) 01, pp. 241-272
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by severe small-sample problems arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an...