articleJournal of Financial EconomicsMar 1, 2002Closed access

Expectation puzzles, time-varying risk premia, and affine models of the term structure

QDQiang DaiKJKenneth J. Singleton

New York University · Stanford University · +1 more institution

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Topics & keywords

Topics
Keywords
  • Yield curve
  • Economics
  • Forward rate
  • Risk premium
  • Econometrics
  • Predictability
  • Affine transformation
  • Term (time)
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