A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang and Monika Piazzesi

Journal of Monetary Economics, 2003, vol. 50, issue 4, 745-787

Date: 2003
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Working Paper: A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (2001)
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