A New Perspective on Gaussian Dynamic Term Structure Models
In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To es...
| Main Authors: | , , |
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| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Society for Financial Studies / Oxford University Press,
2011-07-22T17:47:51Z.
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| Subjects: | |
| Online Access: | Get fulltext |