We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward. We find that the early stages of a recession have...

Interest rate forecasting remains vexing because of the lower bound. A few tractable models are available, but they offer limited or restrictive volatility dynamics. In response, we build on the popular dynamic Nelson-Siegel approach to greatly expand the space of term-structure models that are...

This paper explores the impact of simultaneously enforcing the no-arbitrage structure of a Gaussian macro-finance term structure model (MTSM) and accommodating measurement errors on bond yield through filtering on the maximum likelihood estimates of the model-implied conditional distributions of...