Expectation puzzles, time-varying risk premia, and dynamic models of the term structure
By: Qiang Dai, Kenneth J. Singleton.
Contributors: Singleton, Kenneth J.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8167; Working paper series (National Bureau of Economic Research) -- working paper no. 8167.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 32
Subjects: Rate of return -- Forecasting -- Econometric models.; Bonds -- Prices -- Forecasting -- Econometric models.; Interest rates -- Forecasting -- Econometric models.; Risk -- Forecasting.; Gaussian processes.; Bond yields -- Forecasting.; Risk premia -- Forecasting.; Yield curve.
Genres: Econometric models.
Notes: "March 2001."

JEL no. G0.

Includes bibliographical references (p. 30-32).

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Electronic version available via the Internet at the NBER World Wide Web site.