Correcting Estimation Bias in Dynamic Term Structure Models

DOI10.1080/07350015.2012.693855MaRDI QIDQ6666885zbMATH OpenFDO

Authors Michael Bauer, Glenn D. Rudebusch, Jing Cynthia Wu

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2012.693855

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cited in

(3)

• MultiATSM
• Bregman model averaging for forecast combination
• A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

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