Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

By Scott Joslin, Anh Le, Kenneth J. Singleton. 2011

143 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f79e1f906cf40c95e901fc6349c5178b21b349f8

Citations in the corpus

• The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “Moreover, conditional return variances are an exact function of the relevant state variables (including risk aversion) in our pricing framework (see Joslin et al. 2013 for a similar observation in a term structure model).”
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “Joslin, Le, and Singleton (2013) (JLS) show that, for such choices of Zt, except in degenerate cases, (1)-(3) is theoretically equivalent to a MTSM in which Zt is normalized to the first R PCs of bond yields, denoted by P , so that rt = ρ0P + ρ1P · Pt; (4) and Mt is related to Pt through the…”
• Forecasting Interest Rates with Shifting Endpoints (2012, unknown): “Duffee (2012) provides a recent overview, notable contributions include Ang and Piazzesi (2003), Diebold et al. (2006) and Joslin et al. (2011).”