RETURN-PREDICTING FACTORS FOR US TREASURIES: ON THE SIMILARITY OF "TENTS" AND "BATS"

DOI10.1142/S0219024915500284zbMath1337.91151OpenAlexW3121845946MaRDI QIDQ5265243

Riccardo Rebonato

Publication date: 23 July 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500284

zbMATH Keywords

interest-rate modelsbond risk premiumreturn-predicting factor

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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