Macroeconomic sources of risk in the term structure

Journal of Money, Credit and Banking

Volumn 39, Issue 1, 2007, Pages 205-236

  Balfoussia, Hiona ^a   Wickens, Mike ^a  

^a UNIVERSITY OF YORK   (United Kingdom)

Author keywords

GARCH; Stochastic discount factor model; Term premia; Term structure

Indexed keywords

EID: 33847395414     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0022-2879.2007.00009.x     Document Type: Review

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