Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Center for Financial Studies - 2005
-arbitrage term structure
models.
JEL Classification: G1, E4, E5
Keywords: Term structure, yield curve, Nelson …, yield curve models almost invariably employ a structure that consists of a
small set of factors and the associated factor … entire yield curve at any point in
time, say, for pricing derivatives.
(2) How should bond yield factors and factor loadings …