Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...
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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 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...
A 10-Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2018: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
A 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve, January 1962 to March 2017: Bayesian Model Validation Given Negative Rates in Japan
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
An 8 Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2016: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...