Rudebusch, Glenn D. (contributor); Wu, Tao (contributor) - 2003 - [Elektronische Ressource]
discrete-time Gaussian two-factor term structure model. In such a structure, the
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As Duffee (2002) argues, compared to the … empirical estimates of such a term structure model, the latent factors differ somewhat
in their time-series properties as shown … for the
combined macroeconomic and term structure model that is rigorously estimated in Section 4.
As noted above, the …