Shrinking the Term Structure
收藏NBER2024-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w32472
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资源简介：
We propose a new framework to explain the factor structure in the full cross section of Treasury bond returns. Our method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental principle of the term structure of returns. Our approach
提供机构：
美国国家经济研究局
创建时间：
2024-05-01
