|
|||||
|
|
A plausible model of yield curve dynamics |
|
| Authors: | Gideon Magnus |
| Affiliation: | 1.Morningstar, Inc.,Chicago,USA |
| Abstract: | We present a simple model of yield curve dynamics which satisfies key criteria of plausibility. Specifically, yields are non-negative and the Sharpe ratio of a mean-variance optimal bond portfolio has a reasonable magnitude. The model matches stylized data features, in particular long-run moments of yields and excess returns. |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |