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  • Fitting a dynamic yield macro model in a frontier market: evidence from Kenya 

    Akoth, Mercy; Othieno, Ferdinand O. (Social Science Research Network, 2014-12-28)
    We examine the dynamic interaction between macroeconomic factors and the unobserved yield curve factors in Kenya between 1 March 2011 and 31 March 2014. First we parametarise the yields only Term Structure Model using a ...