The most important statistic from this week’s simulation is the future probability of an inverted 2 year/10 year Treasury yield...
CONNECT ME
SAS Weekly Forecast, January 20, 2023: Peak in Forward U.S. Treasury Yields Drops 0.10%
The 1-month forward U.S. Treasury yield curve currently shows a long-term peak down 0.10% this week. As explained in Prof....
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through December 31, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...
SAS Weekly Forecast, January 13, 2023: Forward U.S. Treasury Yields Twin Peaks Shrink
The 1-month forward U.S. Treasury yield currently curve shows twin peaks down 0.24% in the short term and down 0.14% over the...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using Daily Data from January 2, 1979 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...
The Valuation and Hedging of Non-Maturity Deposits: Frequently Asked Questions
Donald R. van Deventer[1] First Version: October 31, 2022 This Version: January 10, 2023 Abstract A recent paper by Jarrow,...
SAS Weekly Forecast, January 6, 2023: Forward U.S. Treasury Yield Twin Peaks Persist
The 1-month forward U.S. Treasury yield currently show twin peaks at 5.04% in the short term and 4.77% over the longer term. As...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 30, 2022
Donald R. van Deventer January 3, 2023 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve...
SAS Weekly Forecast, December 30, 2022: Forward U.S. Treasury Yields Show Twin Peaks Near 5.05%
The 1-month forward U.S. Treasury yield curve currently shows twin peaks at 5.06% in the short term and 5.01% over the longer...
SAS Weekly Forecast, December 23, 2022: Long-term Forward U.S. Treasury Peak Jumps 0.20%
The long-term 1-month forward U.S. Treasury yield now peaks at 4.84%, up 20 basis points from last week. As explained in Prof....
SAS Weekly Forecast, December 16, 2022: Long-term Forward U.S. Treasury Peak Drops 0.11%
Despite last week’s rate increase by the Federal Reserve, the long-term 1-month forward U.S. Treasury yield now peaks at 4.64%,...
SAS Weekly Forecast, December 9, 2022: Long-term Forward U.S. Treasury Peak Stable at 4.75%
The long-term 1-month forward U.S. Treasury yield now peaks at 4.75%, unchanged from last week. As explained in Prof. Robert...