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- W3124258049 abstract "This paper specifies term structure dynamics by a recursive cascade of heterogeneously persistent factors. The cascade naturally orders economic shocks by their adjustment speeds, and generates smooth interest-rate curves in closed form. For a class of specifications, the number of parameters is invariant to the size of the state space, and the term structure converges to a stochastic limit as the state dimension goes to infinity. High-dimensional specifications fit observed term structure almost perfectly, match the observed low correlation between movements in different maturities, and produce stable interest-rate forecasts that outperform lower-dimensional specifications." @default.
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- W3124258049 date "2018-03-09" @default.
- W3124258049 modified "2023-10-18" @default.
- W3124258049 title "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics" @default.
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- W3124258049 doi "https://doi.org/10.1017/s0022109018000030" @default.
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