On the yield curve and the performance of some popular fixed-income strategies
KP Kung, Q Liu - Expert Systems with Applications, 2024 - Elsevier
This study takes a comprehensive and unified approach to investigating the yield curve.
Specifically, we begin from scratch with the derivation of a formula for the yield curve within …
Specifically, we begin from scratch with the derivation of a formula for the yield curve within …
Riding the yield curve: a spanning analysis
The average return on long-term bonds exceeds the return on short-term bills by a large
amount over short investment horizons. A riding-the-yield-curve investment strategy takes …
amount over short investment horizons. A riding-the-yield-curve investment strategy takes …
Can broker–dealer client surveys provide signals for debt investing?
SC Andrade, WB Barrett - Journal of Banking & Finance, 2011 - Elsevier
We use a novel data set to study return predictability in debt markets. The data are collected
from JP Morgan's periodic surveys on its clients' outlook for changes in US Treasury yields …
from JP Morgan's periodic surveys on its clients' outlook for changes in US Treasury yields …
[PDF][PDF] Estrategias de «carry» y «roll-down»: un enfoque teórico
M Bajo, E Rodríguez - Análisis Financiero Internacional, 2010 - researchgate.net
■ RESUMEN Los conceptos de carry y roll-down permiten al gestor de carteras estimar el
beneficio o pérdida de una posición en renta fija a lo largo de un determinado período bajo …
beneficio o pérdida de una posición en renta fija a lo largo de un determinado período bajo …
[CITATION][C] Forward rates: predictive power and trading strategies
D Afanasenko - 2015 - Magdeburg, Universität, Diss., 2015