Any views expressed in this article are the authors' and do not necessarily represent those of the Bank of Italy. We are extremely grateful to Fabio Panetta, who encouraged us to undertake this research project, and to an anonymous referee for the many improvements she (he) suggested. We thank for helpful discussion Paolo Angelini, Fabio Fornari, Giuseppe Grande, Marco Protopapa, Glenn Rudebusch, Oreste Tristani, Paolo Zaffaroni, and seminar participants and discussants at the Bank of Italy, at the ECB, at the FFM 2005, EEA-ESEM 2006 and EFA 2006 Conferences and at the IX Quantitative Finance Workshop.
Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
Version of Record online: 20 SEP 2008
© 2008 The Ohio State University
Journal of Money, Credit and Banking
Volume 40, Issue 7, pages 1471–1488, October 2008
How to Cite
PERICOLI, M. and TABOGA, M. (2008), Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia. Journal of Money, Credit and Banking, 40: 1471–1488. doi: 10.1111/j.1538-4616.2008.00167.x
- Issue online: 20 SEP 2008
- Version of Record online: 20 SEP 2008
- Received October 11, 2005; and accepted in revised form March 20, 2008.
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