Profiting from Mean-Reverting Yield Curve Trading Strategies

Profiting from Mean-Reverting Yield Curve Trading Strategies

A large class of fixed income trading strategies focuses on opportunities offered by the interest rate term structure. This paper studies a set of yield curve trading strategies that are based on the view that the yield curve mean-reverts to an unconditional curve. These mean-reverting trading strat...

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Bibliographic Details
Main Authors: CHUA, Choong Tze, KOH, Winston T. H., Ramaswamy, Krishna
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
Subjects:
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2489
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3488/viewcontent/ChuaKokESAM04_142.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/2489
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3488/viewcontent/ChuaKokESAM04_142.pdf

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