On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model
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Publication:1000392
DOI10.1007/BF00868006zbMath1153.91771MaRDI QIDQ1000392
Publication date: 6 February 2009
Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)
correction mechanism for mis-pricing between assets; long-term and short-term equilibrium levels of risk premium; statistical yield spread model; the state space smoothness priors approach
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