In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
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A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through September 30, 2021
Donald R. van Deventer[1] First Version: October 6, 2021 This Version: October 6, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, October 1, 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...
Cassandra vs. Goldilocks
Cassandra vs. Goldilocks Kamakura Troubled Company Index Increases by 0.95% to 3.56% Credit Quality Remains Strong at the 99th...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Russia Yield Curve, Using Daily Data from January 4, 2003 through August 31, 2021
Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...
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 August 31, 2021
Donald R. van Deventer[1] First Version: September 21, 2021 This Version: September 22, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, September 24, 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 17, 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 Names Mark Slattery Market Manager for North America
Kamakura Names Mark Slattery Market Manager for North America NEW YORK, September 16, 2021: Kamakura is pleased to announce...
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...
What Happened to The Credit Cycle?
What Happened to The Credit Cycle? Kamakura Troubled Company Index Decreases by 0.45% to 2.58% Credit Quality Remains at the...