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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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...
New on SeekingAlpha: U.S. Treasury Yields, The 10-Year Probabilities
In a new post on www.seekingalpha.com, I take on the issue of yield curve forecasting for a sophisticated general audience. ...
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
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, 2020
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...
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, 2018
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...