This paper presents a parsimonious and theoretically-sound basis for extracting forward-looking measures of equity and commodity betas, and idiosyncratic variance.Defining forward-looking betas and idiosyncratic variance as perturbations of historical estimates, we use the market prices of...

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment grade and non-investment corporate debt - that has changed dramatically over the past twenty years, in part due to the low prevailing rates of interest as well as some systematic...