Article ID Journal Published Year Pages File Type
5089111 Journal of Banking & Finance 2013 14 Pages PDF
Abstract
► To propose a solution to persistence problems. ► To construct a no. arbitrage term structure model. ► To deduce a reliable term premium measure. ► To study the links between term premia and real activity.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
Authors
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