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Term structure estimation without using latent factors

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Author Info
Duffee, Gregory R.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-4H98T99-3/2/9cf37f4d9b5b368cc7b9e9a6c8321b6b
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 79 (2006)
Issue (Month): 3 (March)
Pages: 507-536
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Handle: RePEc:eee:jfinec:v:79:y:2006:i:3:p:507-536

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department. [Downloadable!]
  3. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada. [Downloadable!]
  4. Sharon Kozicki & P.A. Tinsley, 2007. "Term Structure Transmission of Monetary Policy," Working Papers 07-30, Bank of Canada. [Downloadable!]
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  5. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
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