In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount … factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond …

In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount … factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond …

n this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount … factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond …