The Q-Measure Dynamics of Forward Rates
R Rebonato - Annual Review of Financial Economics, 2023 - annualreviews.org
I review how the theoretical modeling of the dynamics of forward rates in the context of
derivatives pricing has evolved over time. I review the theoretical developments from the …
derivatives pricing has evolved over time. I review the theoretical developments from the …
Does the Cochrane-Piazzesi Factor Predict? An International Resampling Perspective
R Rebonato, P Zanetti - The Journal of Fixed Income, 2023 - jfi.pm-research.com
We employ the state-of-the-art resampling procedure designed by to assess the predictive
ability of the benchmark Cochrane-Piazzesi return-predicting factor in four important …
ability of the benchmark Cochrane-Piazzesi return-predicting factor in four important …
Can the Returns of Real Treasuries (TIPS) Be Predicted?
R Rebonato, T Benzschawel, PG Menon… - Available at SSRN …, 2023 - pm-research.com
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case
studies on bond instruments of all types—investment grade, high-yield, municipals, ABS and …
studies on bond instruments of all types—investment grade, high-yield, municipals, ABS and …