SMEAL WIKI

Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs

Scott Joslin, Anh Le, Kenneth J. Singleton
Year2011
VenueJournal of Financial Economics
Typearticle
Citations154
DOI10.1016/j.jfineco.2013.04.004
OpenAlexW2143658900

Topics

Stochastic processes and financial applicationsEconometricsMacroYield curveEconomicsFactor analysis