With inflation obviously on the rise, any rational investor should be asking “How well do U.S. Treasury yields forecast...
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New on SeekingAlpha: U.S. Treasury Yields, The 10-Year Probabilities
In a new post on www.seekingalpha.com, I take on the issue of yield curve forecasting for a sophisticated general audience. ...
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2020
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...
A 14 Factor Heath, Jarrow and Morton Model for the German Bund Yield Curve, January 1996 to March 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the German Bund yield curve from...
A 14 Factor Heath, Jarrow and Morton Model for the United Kingdom Government Securities Yield Curve, January 1979 to January 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the United Kingdom Government...
A 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve, January 1962 to March 2017: Bayesian Model Validation Given Negative Rates in Japan
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
An 8 Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2016: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
Maximizing Risk-Adjusted Fixed Income Returns: An Interview with a Retail Investor who Outperformed AGG by 9.57%
Mr. X, How would you describe your fixed income investment strategy? “I see my overall strategy as a go anywhere, any maturity...
An 11 Factor Heath, Jarrow and Morton Model for the Thai Government Bond Yield Curve: Implications for Model Validation
An 11 Factor Heath, Jarrow and Morton Model for the Thai Government Bond Yield Curve: Implications for Model Validation Donald...
Credit Spreads and Default Probabilities: A Simple Big Data Model Validation Example
In an article in August of 2014, we focused on one of the most persistently used formulas in fixed income markets: Credit Spread...
An Updated 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty-one years of...