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- W1569887254 abstract "Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like. We use observed prices of multi-period bonds to estimate, in a log-linear theoretical setting, the pricing kernel that gave rise to them. The high-order dynamics of our estimated kernel help to explain why first-order, one-factor models of the term structure have had difficulty reconciling the shape of the yield curve with the persistence of the short rate. We use the estimated kernel to provide a new perspective on Hansen-Jagannathan bounds, the price of risk, and the pricing of bond options and futures." @default.
- W1569887254 created "2016-06-24" @default.
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- W1569887254 date "1994-03-01" @default.
- W1569887254 modified "2023-09-27" @default.
- W1569887254 title "Reverse Engineering the Yield Curve" @default.
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- W1569887254 doi "https://doi.org/10.3386/w4676" @default.
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