Concepedia

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

Francis X. Diebold, Glenn D. Rudebusch, S. Borağan Aruoba

SSRN Electronic Journal · 2004 · 288 citations · 41 references

DOIFull text

Open access

Concepts

References

41

Parsimonious Modeling of Yield Curves

Charles R. Nelson, Andrew F. Siegel · The Journal of Business · 1987 · 3K citations

, , +8

A YIELD‐FACTOR MODEL OF INTEREST RATES

Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations

, , +17

Yield Spreads and Interest Rate Movements: A Bird's Eye View

John Y. Campbell, Robert J. Shiller · The Review of Economic Studies · 1991 · 1.8K citations · Full text

, , +15

Specification Analysis of Affine Term Structure Models

Qiang Dai, Kenneth J. Singleton · The Journal of Finance · 2000 · 1.8K citations · Full text

, , +17

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.8K citations

, , +17