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A New Perspective on Gaussian Dynamic Term …
ANew Perspective on Gaussian DynamicTerm Structure ModelsScottJoslinMIT Sloan School of ManagementKenneth J. SingletonGraduate School of Business, Stanford University, and NBERH aoxiang ZhuGraduate School of Business, Stanford UniversityInany canonical Gaussian Dynamic term structure model (GDTSM), the conditional fore-casts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. Thisinvariance is maintained even in the presence of a variety of restrictions on the factorstructure of bond yields. To establish these results, we develop a novel canonicalGDTSMin which the pricing factors are observable portfolios of yields.
A New Perspective on Gaussian Dynamic Term Structure Models Scott Joslin MIT Sloan School of Management Kenneth J. Singleton Graduate School of Business, Stanford University, and NBER
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