Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
收藏NBER2018-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w25092
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资源简介：
We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's
提供机构：
美国国家经济研究局
创建时间：
2018-10-01
