Chou, Jian-Hsin; Chang, Chien-Yun; Chen, Chen-Yu - In: The International Journal of Business and Finance Research 3 (2009) 2, pp. 131-145
This paper employs the Kalman filter to explore the impact of term structure variables in the hedging of Japanese Government Bonds (JGBs) with treasury futures. The term structure factors (level parameter 0 β , slope parameter 1 β , and curvature parameter, 2 β ) are based on Nelson and...