Kogan, Leonid (contributor); Livdan, Dmitry (contributor); … - 2008
demeaned slope
of the term structure),
jR(t;T)j = fiT +fl1;T
‡f
SL(t¡1)
·+
+fl2;T
‡f
SL(t¡1)
·¡
+"T(t); (4)
where (X)§ denotes … the positive (negative) part of X respectively. Figure 2 as well as Table
I illustrate our results. Both fl1;T and fl2;T … exhibits constant returns to scale
Qt = XKt; (6)
where Kt is capital and X is the productivity of capital which is assumed to …