Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread has now persisted for 151 days, the fourth longest...
CONNECT ME
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, February 3, 2023: Inverted Treasury Yield Curve Likely to Persist Through August
Today’s simulation shows that the inverted 2-year/10-year spread is likely to persist through August. The analysis below show...
SAS Weekly Forecast, January 27, 2023: Probability of Inverted Treasury Yields Is 0 in 2025
The most important statistic from this week’s simulation is the future probability of an inverted 2 year/10 year Treasury yield...
SAS Weekly Forecast, January 20, 2023: Peak in Forward U.S. Treasury Yields Drops 0.10%
The 1-month forward U.S. Treasury yield curve currently shows a long-term peak down 0.10% this week. As explained in Prof....
SAS Weekly Forecast, January 13, 2023: Forward U.S. Treasury Yields Twin Peaks Shrink
The 1-month forward U.S. Treasury yield currently curve shows twin peaks down 0.24% in the short term and down 0.14% over the...
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 30, 2022: Forward U.S. Treasury Yields Show Twin Peaks Near 5.05%
The 1-month forward U.S. Treasury yield curve currently shows twin peaks at 5.06% in the short term and 5.01% over the longer...
SAS Weekly Forecast, December 23, 2022: Long-term Forward U.S. Treasury Peak Jumps 0.20%
The long-term 1-month forward U.S. Treasury yield now peaks at 4.84%, up 20 basis points from last week. As explained in Prof....
SAS Weekly Forecast, December 16, 2022: Long-term Forward U.S. Treasury Peak Drops 0.11%
Despite last week’s rate increase by the Federal Reserve, the long-term 1-month forward U.S. Treasury yield now peaks at 4.64%,...
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...