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- Fixed Income Excess Returns and Time to Maturity
- The paper explores the relationship between fixed income excess returns and maturity differentials. In a quest to quantify this relationship, it goes beyond testing the monotonicity of excess returns, by exploring the functional form of excess returns' dependence on the maturity differential. It tests whether the monotonicity of excess returns...
- White papers 2000-10-20
Additional Resources
- Spot VIX vs. VIX 5-Month Futures
- Bill Luby submits: Tuesday I went the analogy route in Thinking About the New VIX ETNs. Today I thought I should try the direct route and show a graph of the difference between the cash/spot VIX and the VIX futures five months out. Keep in mind that...
- External links 2009-01-29
- U.S. Dollar Has Become the Currency of Choice for the Carry Trade
- With the collapse of US interest rates, the dollar is replacing the Yen as the "carry trade" base currency. It's an easy trade to put on, even for a retail investor. A dealer or a fund can simply sell dollars forward against another currency. This trade is equivalent to borrowing...
- External links 2009-09-14
- Perpetual Convertible Bonds
- At each subsequent time, a convertible bondholder must decide whether to continue to hold the bond, thereby collecting coupons, or to convert it to stock. The firm might call the bond at any time. Because calls and conversions often occur far from maturity, it is reasonable to model this situation...
- White papers
- Bond Spreads
- The term bond spreads or spreads refer to the interest rate differential between two bonds. Mathematically, a bond spread is the simple subtraction of one bond yield from another. Bond spreads are the common way that market participants compare the value of one bond to another, much like price-earnings ratios...
- White papers
- Addressing the implications of global ageing
- Global ageing is not occurring in isolation, but is emerging in the context of globalization itself, a world increasingly dominated by the flow of human and economic capital across national boundaries. Indeed, a key stimulus to such capital flows is the emerging demographic imbalances arising from the differential movement of...
- Research articles 2006-11-01
- The Fed's Comments Last Week, and the Market's Reaction Since
- The Bernanke era of the Federal Reserve will be remembered by economists and investors for many reasons, but the most flattering is that the Bernanke regime avoids mumbo-jumbo in explaining what it's up to. In its statement last week on the recent Federal Open Market Committee FOMC meeting, the Fed...
- Blog posts 2009-11-09
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