Expectation puzzles, time-varying risk premia, and dynamic models of the term structure

Expectation puzzles, time-varying risk premia, and dynamic models of the term structure

Bibliographic Details
Main Author: Dai, Qiang
Other Authors: Singleton, Kenneth J.
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 2001.
Series:NBER working paper series no.8167
Subjects:
Rate of return > Forecasting > Economic models.
Bonds > Prices > Forecasting > Econometric models.
Interest rates > Forecasting > Econometric models.