Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
提出一个递归级联模型来描述利率期限结构，其中不同持久性的因子按调整速度排序，能生成平滑的收益率曲线，且高维设定拟合效果好、预测稳定。
This paper specifies term structure dynamics by a recursive cascade of heterogeneously persistent factors. The cascade naturally orders economic shocks by their adjustment speeds, and generates smooth interest-rate curves in closed form. For a class of specifications, the number of parameters is invariant to the size of the state space, and the term structure converges to a stochastic limit as the state dimension goes to infinity. High-dimensional specifications fit observed term structure almost perfectly, match the observed low correlation between movements in different maturities, and produce stable interest-rate forecasts that outperform lower-dimensional specifications.