Financial support from the Castor Professorship at the University of Washington is gratefully acknowledged. The authors thank Shelly Lundberg, Charles R. Nelson, two anonymous referees, and the editor, Pok-sang Lam, for helpful comments, and Robert Bliss for making his interest rate data available.
An Unobserved Components Model of the Yield Curve
Version of Record online: 25 NOV 2010
© 2010 The Ohio State University
Journal of Money, Credit and Banking
Volume 42, Issue 8, pages 1613–1640, December 2010
How to Cite
STARTZ, R. and TSANG, K. P. (2010), An Unobserved Components Model of the Yield Curve. Journal of Money, Credit and Banking, 42: 1613–1640. doi: 10.1111/j.1538-4616.2010.00356.x
- Issue online: 25 NOV 2010
- Version of Record online: 25 NOV 2010
- Received May 16, 2007; and accepted in revised form April 26, 2010.
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