Code for MacroFinance Analysis
Posted: Fri Jan 29, 2010 2:35 am
Hello:
I am wondering if there are people who have tried coding up the following paper:
"A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables" by Ang and Piazzesi (2003) Journal of Monetary Economics.
Kind Regards,
Terence Wan
I am wondering if there are people who have tried coding up the following paper:
"A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables" by Ang and Piazzesi (2003) Journal of Monetary Economics.
Kind Regards,
Terence Wan