This paper proposes and implements a parsimonious three-factor model of the term
structure whose dynamics is driven uniquely by observable state variables. This approach …

In this paper, we investigate the timing of structural changes in yield curve dynamics in the
context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure …

No-arbitrage term structure models are becoming increasingly important to policy makers
and practitioners alike. Several factors justify this trend. First, modeling progress has been …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …

We develop a multivariate dynamic term structure model, which takes into account the
nonlinear (time-varying) relation between interest rates and the state of the economy. In …

Term structure models in finance are dominated by latent factors that lack economic content.
This thesis presents a combined macro-finance approach to study the yield curve. It answers …

Motivated by stylized statistical properties of interest rates, we propose a modeling approach
in which the forward rate curve is described as a stochastic process in a space of curves …

This paper proposes a model to better capture persistent regime changes in the interest
rates of the US term structure. While the previous literature on this matter proposes that …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

The primary objective of this paper is to compare a variety of joint models of the term
structure of interest rates and the macroeconomy. To this end, we consider six alternative …