In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
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A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through September 30, 2021
Donald R. van Deventer[1] First Version: October 6, 2021 This Version: October 6, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, October 1, 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...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Russia Yield Curve, Using Daily Data from January 4, 2003 through August 31, 2021
Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, September 24, 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...
Kamakura Weekly Forecast, September 17, 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...
Kamakura Weekly Forecast, August 27, 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...
Kamakura Weekly Forecast, August 6, 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...
Kamakura Weekly Forecast, July 23, 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 Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through June 30, 2021
Donald R. van Deventer[1] First Version: July 19, 2021 This Version: July 19, 2021 ABSTRACT Please note: Kamakura Corporation...
Kamakura Weekly Forecast, July 16, 2021: 3-month Treasury Bill Yield Distribution for 10 Years
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
How Well Do U.S. Treasury Yields Forecast Inflation?
With inflation obviously on the rise, any rational investor should be asking “How well do U.S. Treasury yields forecast...