In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
CONNECT ME
Kamakura Weekly Forecast, September 10, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Kamakura Weekly Forecast, September 3, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Kamakura Weekly Forecast, August 27, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
The Reduced Form Model Explanation for the Bond/CDS Basis
The Reduced Form Model Explanation for the Bond/CDS Basis: Presentation to Risk Americas Robert A. Jarrow and Donald R. van...
Kamakura Weekly Forecast, August 6, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Kamakura Weekly Forecast, July 23, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
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 June 30, 2021
Donald R. van Deventer[1] First Version: July 19, 2021 This Version: July 19, 2021 ABSTRACT Please note: Kamakura Corporation...
Kamakura Weekly Forecast, July 16, 2021: 3-month Treasury Bill Yield Distribution for 10 Years
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
How Well Do U.S. Treasury Yields Forecast Inflation?
With inflation obviously on the rise, any rational investor should be asking “How well do U.S. Treasury yields forecast...
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...