Estimating VAR models for the term structure of interest rates

DOI10.1016/J.INSMATHECO.2007.05.004zbMath1152.91677OpenAlexW2093136117MaRDI QIDQ998269

Hélio Lopes, Regina Fukuda, Luciano Vereda

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9633@1

zbMATH Keywords

term structure of interest rateseconometricsmacroeconomic variables

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
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