No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

Caroline Jardet (), Alain Monfort and Fulvio Pegoraro ()

No 2011-03, Working Papers from Center for Research in Economics and Statistics

Pages: 36
Date: 2011
New Economics Papers: this item is included in nep-fdg
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Related works:
Journal Article: No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth (2013)
Working Paper: No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth (2009)
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