An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
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This paper develops an arbitrage-free time-series model of yields in continuous time that incorporates central bank policy. Policy-related events, such as FOMC meetings and releases of macroeconomic news the Fed cares about, are modeled as jumps. The model introduces a class of linear-quadratic jump
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美国国家经济研究局创建时间：
2001-04-01
