NO-ARBITRAGE NEAR-COINTEGRATED VAR ( p ) TERM STRUCTURE MODELS , TERM PREMIA AND GDP GROWTH

@inproceedings{Jardet2009NOARBITRAGENV,
  title={NO-ARBITRAGE NEAR-COINTEGRATED VAR ( p ) TERM STRUCTURE MODELS , TERM PREMIA AND GDP GROWTH},
  author={Caroline Jardet and Alain Monfort and F{\'a}bio Pegoraro},
  year={2009}
}
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of variables. More precisely, such a dynamic modelling must satisfy two important conditions. First, it must be able to propose reliable predictions of some key variables. Second, it must be able to propose a joint dynamics of some macroeconomic variables, of the whole curve of interest rates, of the… CONTINUE READING

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