Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
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An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
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:...
SAS Weekly Forecast, November 25, 2022: U.S. Treasury Forward Rates Flatten Out
The 1-month forward U.S. Treasury yield now peaks at 5.00%, down 16 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, September 23, 2022: Peak in 1-month Forward Treasury Rates Falls 0.21% to 4.68% on Yield Curve Twist
The Federal Reserve’s 75 basis point increase resulted in a yield curve twist, with shorter term Treasury yields shifting up and...
SAS Weekly Forecast, September 9, 2022: Peak in 1-month Forward Treasury Rates Steadies at 4.98%
The forward 1-month U.S. Treasury yield now peaks at 4.98%, up 3 basis points from last week. As explained in Prof. Robert...
Kamakura Weekly Forecast, September 2, 2022: Peak in 1-month Forward Treasury Rates Climbs to 4.95%
Treasury yields moved surprisingly little on the day of Chairman Powell’s Jackson Hole comments, but on reflection early last...
Kamakura Weekly Forecast, August 26, 2022: Lawyer Jerome Powell versus 15,154 Days of Treasury Yields
Reformed lawyer Jerome Powell argued in Jackson Hole that market participants are underestimating the Fed’s determination to...
Kamakura Weekly Forecast, August 19, 2022: Negative 2-year/10-year Spread, Trading Day 33
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The negative 2-year/10-year Treasury spread...
Kamakura Weekly Forecast, August 12, 2022: Negative 2-year/10-year Spread, Trading Day 28
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had a month to adjust to...
Kamakura Weekly Forecast, August 5, 2022: 2-year 10-year Spread Negative for 23rd Trading Day in a Row
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had more than three weeks...