An empirical analysis of unspanned risk for the U.S. yield curve
In this paper, I formally test for the unspanning properties of liquidity premium risk in the context of a joint Gaussian affine term structur e model for zero-coupon U.S . Treasur y and TIPS bonds. In the model, the liquidity factor is regarded as an additional factor that does...
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| Publicado en: | Lecturas de Economía |
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| Autor principal: | |
| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Universidad de Antioquia
2016
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| Materias: | |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=155246479001 https://www.redalyc.org/journal/1552/155246479001/ https://www.redalyc.org/journal/1552/155246479001/html/ https://www.redalyc.org/journal/1552/155246479001/155246479001.epub https://www.redalyc.org/journal/1552/155246479001/movil |
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