Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10005210579
This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield...
Persistent link: https://www.econbiz.de/10010681718
Persistent link: https://www.econbiz.de/10005362870