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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| 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 |