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A New Perspective on Gaussian Dynamic Term Structure Models

A New Perspective on Gaussian Dynamic Term Structure Models

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The Review of Financial Studies / v 24 n 3 2011 conditional covariance matrix of yields factors from the VAR. That is, given ΣP, the entire cross-section of bond yields in anN-factorGDTSM is fully de- termined by only the N +1 parameters r

  Covariance

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