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Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model

Riccardo Rebonato and Riccardo Ronzani
The Journal of Fixed Income Fall 2020, jfi.2020.1.099; DOI: https://doi.org/10.3905/jfi.2020.1.099
Riccardo Rebonato
is a finance professor at EDHEC Business School in London, UK
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Riccardo Ronzani
is a student at Universita’ Bocconi in Milan, Italy.
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Article Information

jfi.2020.1.099
DOI 
https://doi.org/10.3905/jfi.2020.1.099

Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online June 29, 2020.

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  • You are currently viewing a Latest version of this article (June 29, 2020 - 21:41).
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© 2020 Pageant Media Ltd

Author Information

  1. Riccardo Rebonato
    1. is a finance professor at EDHEC Business School in London, UK. (riccardo.rebonato{at}edhec.edu)
  2. Riccardo Ronzani
    1. is a student at Universita’ Bocconi in Milan, Italy.
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Fixed Income: 30 (3)
The Journal of Fixed Income
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Winter 2021
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Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model
Riccardo Rebonato, Riccardo Ronzani
The Journal of Fixed Income Jun 2020, jfi.2020.1.099; DOI: 10.3905/jfi.2020.1.099

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Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model
Riccardo Rebonato, Riccardo Ronzani
The Journal of Fixed Income Jun 2020, jfi.2020.1.099; DOI: 10.3905/jfi.2020.1.099
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  • Article
    • Abstract
    • WHY THE “BEST” RETURN-PREDICTING FACTORS CANNOT BE TRUSTED
    • THE DATA
    • THE MODEL
    • CALIBRATION OF THE MODEL
    • RESULTS AND DISCUSSION
    • CONCLUSIONS
    • ADDITIONAL READING
    • APPENDIX A
    • ENDNOTE
    • REFERENCES
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