Donald R. van Deventer[1] First Version: March 8, 2022 This Version: March 8, 2022 ABSTRACT Please note: Kamakura Corporation...
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Kamakura Weekly Forecast, March 11, 2022: Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward
In this week’s forecast, the focus is on three elements of interest rate behavior: the probability of the recession-predicting...
A 7-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Canada Yield Curve, Using Daily Data from January 2, 2001 through February 28, 2022
Donald R. van Deventer[1] First Version: March 8, 2022 This Version: March 8, 2022 ABSTRACT Please note: Kamakura Corporation...
Kamakura Weekly Forecast, March 4, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
Global Uncertainty Rises
Global Uncertainty Rises Kamakura Troubled Company Increases by 0.60% to 6.99% Credit Quality Weakens to the 88th Percentile NEW...
Kamakura Weekly Forecast, February 25, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Thailand Government Securities Yield Curve, Using Daily Data from September 15, 1999 through October 31, 2021
Donald R. van Deventer[1] First Version: February 22, 2022 This Version: February 23, 2022 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, February 18, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
Kamakura Weekly Forecast, February 11, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
Kamakura Weekly Forecast, February 4, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
No Free Lunch
No Free Lunch Kamakura Troubled Company Increases by 1.30% to 5.70% Credit Quality Weakens to the 94th Percentile NEW YORK,...
Kamakura Weekly Forecast, January 28, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...