Return-Predicting Factors For Us Treasuries: On The Similarity Of "Tents" And "Bats"
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DOI: 10.1142/S0219024915500284
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References listed on IDEAS
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Cited by:
- R. Rebonato, 2018. "Predicting Returns In Us Treasuries: Do Tents Matter?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-13, November.
- Riccardo Rebonato, 2017. "Affine Models With Stochastic Market Price Of Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-38, June.
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Keywords
Bond risk premium; interest-rate models; return-predicting factor;All these keywords.
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