Summary The Treasury curve was down 11 basis points at 2 years and was down 8 basis points at 10 years over the last week. As a...
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SAS Weekly Forecast, June 28, 2024: Treasury 2-Year/10-Year Spread Narrows to Negative 0.35%
Summary The Treasury curve was up 1 basis point at 2 years and was up 11 basis points at 10 years over the last week. As a...
SAS Weekly Bund Yield and FX Forecast, June 28, 2024: One More Step Toward a Flat Yield Curve
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 32.3 basis points...
SAS Weekly Bund Yield and FX Forecast, June 21, 2024: Short End Down, Long End Up
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 37.4 basis points...
SAS Weekly Bund Yield and FX Forecast, June 14, 2024: End of Negative Bund Spreads by December is 36% Probability
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 39.2 basis points...
SAS Weekly Bund Yield and FX Forecast, June 7, 2024: Negativity Breeds Discontent
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 45.9 basis points...
SAS Weekly Forecast, April 19, 2024: Higher for 30 Years?
Summary The Treasury curve was up 9 basis points at 2 years and was up 12 basis points at 10 years over the last week. As a...
SAS Weekly Bund Yield Forecast, April 12, 2024: Bund Forward Rates Shift Up Again
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 49.2 basis points...
SAS Weekly Bund Yield Forecast, January 19, 2024: 35.0% Probability Inverted Yields End by July 19
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 42.2 basis...
SAS Weekly Forecast, July 14, 2023: Treasury Yield Declines Reverse Most of Prior Week’s Rise
This week’s U.S. Treasury yield curve shifts reversed most of the increase from the prior week. The long-term peak in 1-month...
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 March 31, 2023
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
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:...