Bauer, Michael D.; Rudebusch, Glenn D.; Wu, Jing Cynthia - In: Journal of Business & Economic Statistics 30 (2012) 3, pp. 454-467
The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by small-sample bias has been largely ignored. We show that conventional estimates of DTSM coefficients are indeed...