Unspanned macroeconomic factors in the yield curve

Coroneo, Laura orcid.org/0000-0001-5740-9315, Giannone, Domenico and Modugno, Michele (2015) Unspanned macroeconomic factors in the yield curve. Journal of Business and Economic Statistics. pp. 472-485. ISSN 0735-0015

Abstract

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Item Type: Article
Authors/Creators:
Copyright, Publisher and Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business & Economic Statistics. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Yield Curve, Government Bonds, Factor models, Forecasting
Dates:
  • Published (online): 11 June 2015
  • Published: 19 July 2015
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Funding Information:
FunderGrant number
ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)ES/K001345/1
Depositing User: Pure (York)
Date Deposited: 19 Oct 2015 09:41
Last Modified: 29 Feb 2024 00:11
Published Version: https://doi.org/10.1080/07350015.2015.1052456
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1080/07350015.2015.1052456

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Filename: CGMjbesPaper.pdf

Description: Author Final Version

Filename: CGMjbesPaper.pdf

Description: Accepted Paper

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