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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

Affine models with stochastic market price of risk

Rebonato, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10011687047

Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches

Nyholm, Ken; Rebonato, Riccardo - In: Applied financial economics 18 (2008) 18/21, pp. 1597-1611

Persistent link: https://www.econbiz.de/10003800185

Can representativeness explain the predictability of treasury bonds returns?

Rebonato, Riccardo; Ronzani, Riccarco; Tronson, Dimitri - In: The journal of fixed income : JFI 33 (2023) 2, pp. 17-49

Persistent link: https://www.econbiz.de/10014533739

Why does the Cieslak-Povala model predict treasury returns? : a reinterpretation

Rebonato, Riccardo; Hatano, Taku - In: The journal of fixed income : JFI 31 (2022) 4, pp. 20-32

Persistent link: https://www.econbiz.de/10014231337

Predictability of Treasury Bond Returns : Risk Premia or Overreaction?

Rebonato, Riccardo - 2019

We examine whether the predictability and business-cycle dependence of excess returns in US Treasuries can be more naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the extremely parsimonious cognitive-bias model in...

Persistent link: https://www.econbiz.de/10012893290