I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Starting from the discrete-time a ne term structure model by Dai, Le & Singleton (2006), this paper proposes a Radon … attractive features of an affine relation between yields and factors, while allowing for nonlinear and non-normal time …-series dynamics. Empirically the ft of the discrete-time 3-factor a ne model is found to be substantially improved by the inclusion of …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the … factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing … present time varying impulse responses of bond yields to EA and US monetary policy shocks and to confidence shocks. …In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model …

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … higher-order realized moments and allow all model coefficients to be time-varying in order to explore dynamics in forecasting … structure with robust contribution also in out-of-sample analysis for the shorter tenors. Time-varying coefficient models are …

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a …