Transcription of A New Perspective on Gaussian Dynamic Term Structure Models
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A New Perspective on Gaussian Dynamic Term Structure Models
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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