Riding the yield curve, the fixed-income strategy of purchasing a longer-dated security and selling before maturity …

yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market … imperfections. In contrast, option pricing in practice often takes the market observed yield curve as given and focuses exclusively … on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve …

modelling international bond markets. We derive necessary conditions for the correlation and volatility structure of mixture … models to accommodate various empirical stylized facts such as the forward premium puzzle and differently shaped yield curves … international bond markets. Further, the empirical results do not support the existence of local factors in the UK-US setting …

We identify and characterize a class of term structure models where bond yields are quadratic functions of the state …

We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and … underlying yield curve. While three common factors are adequate to capture the systematic movement of the yield curve, we need …

yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all … monetary policy actions contain important information for explaining movements in bond yields. Although perceptions about in … capture the dynamics of the yield curve. Macroeconomic forecasts play an important role in explaining time-variation in the …