Risk premiums in dynamic term structure models with unspanned macro risks
S Joslin, M Priebsch, KJ Singleton - The Journal of Finance, 2014 - Wiley Online Library
This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
[PDF][PDF] Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S Joslin, M Priebsch, KJ Singleton - idei.fr
This paper develops and implements an arbitrage-free DTSM within which we are able to
econometrically identify the contributions of macroeconomic variables to variation in the …
econometrically identify the contributions of macroeconomic variables to variation in the …
[PDF][PDF] Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S Joslin, M Priebsch, KJ Singleton - people.stern.nyu.edu
This paper quantifies how variation in real economic activity and inflation in the US
influenced the market prices of level, slope, and curvature risks in US Treasury markets. To …
influenced the market prices of level, slope, and curvature risks in US Treasury markets. To …
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S JOSLIN, M PRIEBSCH, KJ SINGLETON - The Journal of Finance, 2014 - infona.pl
This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
Risk premiums in dynamic term structure models with unspanned macro risks
S Joslin, M Priebsch, KJ Singleton - The Journal of finance, 2014 - dialnet.unirioja.es
This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
[PDF][PDF] Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S Joslin, M Priebsch, KJ Singleton - 2012 - msbfile03.usc.edu
This paper quantifies how variation in real economic activity and inflation in the US
influenced the market prices of level, slope, and curvature risks in US Treasury markets. We …
influenced the market prices of level, slope, and curvature risks in US Treasury markets. We …
[PDF][PDF] Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S Joslin, M Priebsch… - Journal of …, 2013 - s3.us-east-2.amazonaws.com
This paper quantifies how variation in real economic activity and inflation in the US
influenced the market prices of level, slope, and curvature risks in US Treasury markets. We …
influenced the market prices of level, slope, and curvature risks in US Treasury markets. We …
[PDF][PDF] Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S JOSLIN, M PRIEBSCH… - THE JOURNAL OF …, 2014 - faculty.marshall.usc.edu
This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
influences the market prices of level, slope, and curvature risks in Treasury markets. We …
[PDF][PDF] Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S Joslin, M Priebsch, KJ Singleton - pages.stern.nyu.edu
This paper quantifies how variation in real economic activity and inflation in the US
influenced the market prices of level, slope, and curvature risks in US Treasury markets. To …
influenced the market prices of level, slope, and curvature risks in US Treasury markets. To …
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
S Joslin, M Priebsch, KJ Singleton - … of Business Working Paper No. FBE - papers.ssrn.com
This paper quantifies how variation in real economic activity and inflation in the US
influenced the market prices of level, slope, and curvature risks in US Treasury markets. We …
influenced the market prices of level, slope, and curvature risks in US Treasury markets. We …