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The Journal of Fixed Income

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US Treasury Bond Betas: 1961–2019

J. Benson Durham
The Journal of Fixed Income Spring 2020, jfi.2020.1.083; DOI: https://doi.org/10.3905/jfi.2020.1.083
J. Benson Durham
is a former managing director and global head of data analytics for Fundamental Fixed Income at BlackRock in New York, NY
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The Journal of Fixed Income: 32 (3)
The Journal of Fixed Income
Vol. 32, Issue 3
Winter 2023
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US Treasury Bond Betas: 1961–2019
J. Benson Durham
The Journal of Fixed Income Jan 2020, jfi.2020.1.083; DOI: 10.3905/jfi.2020.1.083

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US Treasury Bond Betas: 1961–2019
J. Benson Durham
The Journal of Fixed Income Jan 2020, jfi.2020.1.083; DOI: 10.3905/jfi.2020.1.083
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    • Abstract
    • LITERATURE REVIEW AND MOTIVATION
    • AN ASYMMETRIC MULTIVARIATE-GARCH LENS
    • SPECTRAL ANALYSIS
    • CONVEXITY AND QUANTILE REGRESSIONS
    • DISCUSSION
    • ADDITIONAL READING
    • ENDNOTES
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