Diebold, Francis X. (contributor); … - 2003 - [Elektronische Ressource]
The Macroeconomy and the Yield Curve:
A Dynamic Latent Factor Approach
Francis X. Diebold
University of Pennsylvania … of San Francisco.
Copyright © 2002-2004 F.X. Diebold, G.D. Rudebusch and S.B. Aruoba. The latest version of this paper …. Several parameters must be estimated. The
(3x3) transition matrix A contains 9 free parameters, the (3x1) mean state vector …