articleJournal of Monetary EconomicsMay 1, 2003Closed access

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

AAAndrew AngMPMonika Piazzesi

National Bureau of Economic Research · Anderson University - South Carolina

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Topics & keywords

Topics
Keywords
  • Yield curve
  • Economics
  • Unobservable
  • Econometrics
  • Vector autoregression
  • Arbitrage
  • Macro
  • Inflation (cosmology)
UN Sustainable Development Goals
  • Decent work and economic growth
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