A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (2002)

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by Andrew Ang , Monika Piazzesi

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133 - 11 self

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@MISC{Ang02ano-arbitrage,
    author = {Andrew Ang and Monika Piazzesi},
    title = {A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables},
    year = {2002}
}

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