A Simple Multi-Factor, Time-Dependent-Parameter Model for the Term Structure of Interest Rates
β Scribed by Ren-Raw Chen; T. L. Tyler Yang
- Book ID
- 110340781
- Publisher
- Springer US
- Year
- 2002
- Tongue
- English
- Weight
- 95 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0924-865X
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π SIMILAR VOLUMES
## Abstract This article presents a twoβfactor model of the term structure of interest rates. It is assumed that defaultβfree discount bond prices are determined by the time to maturity and two factors, the longβterm interest rate, and the spread (i.e., the difference) between the shortβterm (insta
## Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield cu