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- W4230419698 abstract "This chapter highlights aspects of the vibrant ongoing research program associated with the ideas developed in earlier chapters. It begins with a collage-style sketch of work involving Bayesian analysis, functional form for factor loadings, term structures of credit spreads, and nonlinearities. It then discusses in greater detail the incorporation of more than three yield factors. Next, it treats stochastic volatility in both dynamic Nelson–Siegel model (DNS) and arbitrage-free DNS (AFNS) environments, with some attention to the issue of unspanned stochastic volatility. Finally, it discusses the incorporation of macroeconomic fundamentals in their relation to bond yields. It also introduces aspects of modeling real versus nominal yields in DNS/AFNS environments, a theme treated in detail in Chapter 5." @default.
- W4230419698 created "2022-05-11" @default.
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- W4230419698 date "2013-01-15" @default.
- W4230419698 modified "2023-09-29" @default.
- W4230419698 title "Extensions" @default.
- W4230419698 doi "https://doi.org/10.23943/princeton/9780691146805.003.0004" @default.
- W4230419698 hasPublicationYear "2013" @default.
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