An understanding of the stochastic behaviour of yields is important for the conduct of monetary policy, the financing of public debt, the expectations of real e

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to val

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield

Abstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structu