1999•SSRN Electronic JournalOpen access

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Andrew Ang, Monika Piazzesi

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Key concepts: Vector autoregression, Term (time), Econometrics, Arbitrage, Autoregressive model, Latent variable, Economics, Bayesian vector autoregression

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A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables — Research Paper | ScholarLens