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Keywords: Affine term structure models
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2021) 10 (1): 83–123.
Published: 01 April 2021
... Licensed re-use rights only Affine term structure models Bond and foreign currency risk premiums Out-of-sample forecasting G12 G15 In two seminal papers, Cochrane and Piazzesi (2005 , 2008) document a strong one-factor structure in the unconstrained predictability of one-year-ahead...
Includes: Supplementary data
