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dc.contributor.authorJoslin, Scott Stephen Walter
dc.contributor.authorSingleton, Kenneth J.
dc.contributor.authorZhu, Haoxiang
dc.date.accessioned2011-07-22T17:47:51Z
dc.date.available2011-07-22T17:47:51Z
dc.date.issued2011-01
dc.identifier.issn0893-9454
dc.identifier.issn1465-7368
dc.identifier.urihttp://hdl.handle.net/1721.1/64953
dc.description.abstractIn any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM in which the pricing factors are observable portfolios of yields. For our normalization, standard maximum likelihood algorithms converge to the global optimum almost instantaneously. We present empirical estimates and out-of-sample forecasts for several GDTSMs using data on U.S. Treasury bond yields.en_US
dc.language.isoen_US
dc.publisherSociety for Financial Studies / Oxford University Pressen_US
dc.relation.isversionofhttp://dx.doi.org/10.1093/rfs/hhq128en_US
dc.rightsArticle is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.en_US
dc.sourceOUPen_US
dc.titleA New Perspective on Gaussian Dynamic Term Structure Modelsen_US
dc.typeArticleen_US
dc.identifier.citationJoslin, S., K. J. Singleton, and H. Zhu. “A New Perspective on Gaussian Dynamic Term Structure Models.” Review of Financial Studies 24.3 (2011) : 926-970. © The Author 2011en_US
dc.contributor.departmentSloan School of Managementen_US
dc.contributor.approverJoslin, Scott
dc.contributor.mitauthorJoslin, Scott Stephen Walter
dc.relation.journalReview of Financial Studiesen_US
dc.eprint.versionFinal published versionen_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/PeerRevieweden_US
dspace.orderedauthorsJoslin, S.; Singleton, K. J.; Zhu, H.en
mit.licensePUBLISHER_POLICYen_US


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