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Kenneth J. Singleton

Adams Distinguished Professor in Management, Emeritus, Stanford Graduate School of Business

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Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs

With Scott Joslin and Anh Le.

Journal of Financial Economics, Vol. 109, No. 3, September 2013, 604–622.

http://dx.doi.org/10.1016/j.jfineco.2013.04.004

Tags: Econometric Methods, Fixed Income
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