Regime shifts in a dynamic term structure model of U.S. treasury bond yields

Review of Financial Studies

Volumn 20, Issue 5, 2007, Pages 1669-1706

  Dai, Qiang ^a   Singleton, Kenneth J ^b   Yang, Wei ^c,d  

^a NEW YORK UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c UNIVERSITY OF ROCHESTER   (United States)

^d UNIVERSITY OF ROCHESTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34548535390     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhm021     Document Type: Article

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