We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation...

We show that including financial market data at daily frequency, along with macro series at standard lower frequency, facilitates statistical inference on structural parameters in dynamic equilibrium models. Our continuous-time formulation conveniently accounts for the difference in observation...

We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premia and for the absence of arbitrage opportunities based on the drift restriction within the Heath, Jarrow and Morton (1992) framework. As in the equity case, a zero intercept condition is...

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...