I'm baaaaaack...
Speaking of being back, I'm just back from the Rob Engle / NYU Volatility Institute Annual Conference. (Well, more or less just back.) Great people, great science, tightly-focused on a fascinating and timely
area, the bond market and yield-curve modeling. Program and links to papers here. I think they'll post slides soon as well. Mine are here. Shortly I'll blog separately on what I see as the two key econometric approaches to arbitrage-free yield-curve modeling in zero-lower-bound environments: The ARG0 approach of Monfort et al. (the new paper I discussed) and the shadow-rate approach of Krippner et al. (going way back to Fischer Black.)
