Affine Term Structure Model with Macroeconomic Factors: Do No‐Arbitrage Restriction and Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? (Q4687590)
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scientific article; zbMATH DE number 6952584
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine Term Structure Model with Macroeconomic Factors: Do No‐Arbitrage Restriction and Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? |
scientific article; zbMATH DE number 6952584 |
Statements
Affine Term Structure Model with Macroeconomic Factors: Do No‐Arbitrage Restriction and Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? (English)
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12 October 2018
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interest rates
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macroeconomic fundamentals
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affine latent factors model
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state-space model
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Kalman filter
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