scholarly journals Resolving the spanning puzzle in macro-finance term structure models

2015 ◽  
pp. 01-57 ◽  
Author(s):  
Michael D. Bauer ◽  
◽  
Glenn D. Rudebusch ◽  
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Macro Finance

scholarly journals Resolving the Spanning Puzzle in Macro-Finance Term Structure Models*

2016 ◽  
Vol 21 (2) ◽  
pp. 511-553 ◽  
Author(s):  
Michael D. Bauer ◽  
Glenn D. Rudebusch
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Macro Finance

JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags

2013 ◽  
Vol 11 (4) ◽  
pp. 581-609 ◽  
Author(s):  
S. Joslin ◽  
A. Le ◽  
K. J. Singleton
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Macro Finance

Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

2013 ◽  
Vol 109 (3) ◽  
pp. 604-622 ◽  
Author(s):  
Scott Joslin ◽  
Anh Le ◽  
Kenneth J. Singleton
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Macro Finance

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models
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