No-arbitrage near-cointegrated VAR(p) term structure models, term premia and GDP growth

Caroline Jardet , Alain Monfort and Fulvio Pegoraro

Year of publication:	June 2009
Authors:	Jardet, Caroline ; Monfort, Alain ; Pegoraro, Fulvio
Publisher:	Paris : Banque de France
Subject:	Zinsstruktur \| Yield curve \| Risikoprämie \| Risk premium \| Arbitrage \| Wirtschaftswachstum \| Economic growth \| Kointegration \| Cointegration \| VAR-Modell \| VAR model \| Makroökonomik \| Macroeconomics

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