Correcting estimation bias in dynamic term structure models
MD Bauer, GD Rudebusch, JC Wu - Journal of Business & …, 2012 - Taylor & Francis
The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by …
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The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by …