An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates
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References listed on IDEAS
- John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
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More about this item
KeywordsInterest rates ; Econometric models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-04 (All new papers)
- NEP-FMK-2005-10-04 (Financial Markets)
- NEP-MAC-2005-10-04 (Macroeconomics)
- NEP-MON-2005-10-04 (Monetary Economics)
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