@article{oai:nagasaki-u.repo.nii.ac.jp:00003485,
 author = {Kamizono, Kenji and Kariya, Takeaki and Yamamura, Yoshiro},
 journal = {長崎大学経済学部研究年報, Annual review of economics},
 month = {Jun},
 note = {In this paper, we generalize the cross-sectional fixed-coupon bond pricing model of Kariya et. al．(2012) to a dynamic one. The bond prices are modeled as the present values of the future cash-flows where the discount functions are stochastic and may depend on the bond attributes. In our framework, the cross-sectional and time-series covariance structure among the stochastic discount functions depends on the difference of the time-to-maturity of the bonds. We also propose a bond price forecast method using our model. The empirical result and the forecast performance on the Japanese government bonds are presented., 長崎大学経済学部研究年報, 32, pp.57-69; 2016},
 pages = {57--69},
 title = {A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds},
 volume = {32},
 year = {2016}
}