Joslin, Scott; Le, Anh; Singleton, Kenneth J. - In: Journal of Financial Economics 109 (2013) 3, pp. 604-622
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...