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# Term structure estimation without using latent factors

@inproceedings{Duffee2004TermSE, title={Term structure estimation without using latent factors}, author={Gregory R. Duffee}, year={2004} }

- Published 2004

The term structure is modeled as a function of observable and unobservable (latent) factors. I describe how to estimate the relation between the observed factors and the term structure without specifying or estimating latent-factor dynamics. No-arbitrage requirements are imposed in the estimation procedure. I apply the methodology to the joint dynamics of inflation and the term structure. As other research has noted, both short-term and long-term bond yields adjust gradually to a change in… CONTINUE READING

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