Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...
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SAS Weekly Forecast, March 3, 2023: One-Month Treasury Forward Rate Spikes to 5.42%
Today’s analysis shows that the one-month forward U.S. Treasury yield hits a near-term peak of 5.42%. As explained in Prof....
SAS Weekly Forecast, February 24, 2023: 2-year/10-year Treasury Negative Spread at Day 160
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks almost certain to continue into 2024. As...
SAS Weekly Forecast, February 17, 2023: 2-year/10-year Treasury Negative Spread Won’t End Soon
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks likely to persist well into fall, 2023 and...
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, 2022
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] This Version:...
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:...
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:...
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...
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...
SAS Weekly Forecast, November 18, 2022: Peak in 1-Month Treasury Forward Rates Falls 0.35% to 5.16%
The 1-month forward U.S. Treasury yield now peaks at 5.16%, down 35 basis points from last week. As explained in Prof. Robert...
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 September 30, 2022
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
SAS Weekly Forecast, October 14, 2022: Treasury 1-Month Forward Rate Peak Up 0.32% to 5.25%
The 1-month forward U.S. Treasury yield now peaks at 5.25%, up 32 basis points from last week. As explained in Prof. Robert...