A New Perspective on Gaussian Dynamic Term Structure Models

Author:

Joslin Scott,Singleton Kenneth J.,Zhu Haoxiang

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference35 articles.

1. Adrian T Moench E . Pricing the Term Structure with Linear Regressions. Staff Report No. 340. Federal Reserve Bank of New York 2008. http://www.ny.frb.org/research/staff_reports/sr340.pdf (accessed October 25, 2010).

2. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

3. Ang A Piazzesi M Wei M . What Does the Yield Curve Tell Us About GDP Growth? 2003. Working Paper, Columbia University.

4. Estimation Estimation and Inference in Nonlinear Structural Models;Berndt;Annals of Social Measurement,1974

5. Yield Spreads and Interest Rate Movements: A Bird's Eye View

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