A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
By: Andrew Ang, Monika Piazzesi.
Contributors: Piazzesi, Monika.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8363; Working paper series (National Bureau of Economic Research) -- working paper no. 8363.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 49
Subjects: Bonds -- Prices -- Econometric models.; Yield curve -- Econometric models.; Vector analysis.; Autoregression (Statistics); Latent variables.
Notes: "July 2001."

JEL no. E4, E5, G0.

Includes bibliographical references (p. 30-31).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

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