Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward In this week’s forecast, the focus is on three...
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Rate Rise One is Done: What Next? Kamakura Weekly Forecast, March 18, 2022
Kamakura Weekly Forecast, March 18, 2022: Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward In...
A 7-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of France Yield Curve, Using Daily Data from January 2, 2015 through January 31, 2022
Donald R. van Deventer[1] First Version: March 8, 2022 This Version: March 8, 2022 ABSTRACT Please note: Kamakura Corporation...
Kamakura Weekly Forecast, March 11, 2022: Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward
In this week’s forecast, the focus is on three elements of interest rate behavior: the probability of the recession-predicting...
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 February 28, 2022
Donald R. van Deventer[1] First Version: March 8, 2022 This Version: March 8, 2022 ABSTRACT Please note: Kamakura Corporation...
Kamakura Weekly Forecast, March 4, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Thailand Government Securities Yield Curve, Using Daily Data from September 15, 1999 through October 31, 2021
Donald R. van Deventer[1] First Version: February 22, 2022 This Version: February 23, 2022 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, February 11, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
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, 2021
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using...
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, 2021
Donald R. van Deventer[1] First Version: December 6, 2021 This Version: December 7, 2021 ABSTRACT Please note: Kamakura...