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Forecasting US bond returns : a practitioner's perspective
Mylnikov, George - In: The journal of portfolio management : a publication of … 40 (2014) 3, pp. 124-136
Persistent link: https://www.econbiz.de/10010365489
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Forecasting US bond returns
Ilmanen, Antti - In: The journal of fixed income 7 (1997) 1, pp. 22-37
Persistent link: https://www.econbiz.de/10001223525
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Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …
Persistent link: https://www.econbiz.de/10014433708
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Predictable Changes in Yields and Forward Rates
Backus, David K. - 2010
simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012763624
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Predictable Changes in Yields and Forward Rates
Backus, David - 1998
simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012472439
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
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The expected spot rate and risk premium components of treasury bill futures rates
Pilotte, Eugene A. - In: Review of futures markets 12 (1994) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10001183631
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Essays on the dynamic interaction of expectations, monetary policy and the term structure of interest rates
Chun, Albert Lee - 2007
Persistent link: https://www.econbiz.de/10009693124