Creal, Drew; Wu, Jing Cynthia - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1461-1484
Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing...