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- W2238967599 abstract "A combination of observed and unobserved (latent) factors capture term structure dynamics. Information about these dynamics is extracted from observed factors without specifying or estimating any of the parameters associated with latent factors. Estimation is equivalent to fitting the moment conditions of a set of regressions, where no-arbitrage imposes cross equation restrictions on the coefficients. The methodology is applied to the dynamics of inflation and yields. Outside of the disinflationary period of 1979 through 1983, short-term rates move one for one with expected inflation, while bond risk premia are insensitive to inflation." @default.
- W2238967599 created "2016-06-24" @default.
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- W2238967599 date "2005-11-11" @default.
- W2238967599 modified "2023-09-27" @default.
- W2238967599 title "Term structure estimation without using latent factors" @default.
- W2238967599 hasPublicationYear "2005" @default.
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