Lengwiler, Yvan; Lenz, Carlos - In: Journal of Econometrics 157 (2010) 2, pp. 481-491
We construct a factor model of the yield curve and specify time series processes for these factors, so that the innovations are mutually orthogonal. At the same time, the factors are such that they assume clear, intuitive interpretations. The resulting "intelligible factors" should prove useful...