Profiting from Mean-Reverting Yield Curve Trading Strategies

This article 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 strategies exploit deviations in the level, slope, and curvature of the yield curve from historical norms. Some mean-rever...

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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 2006
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/456
https://ink.library.smu.edu.sg/context/soe_research/article/1455/viewcontent/Profiting_from_Mean_Reverting_Yield_Curve_Trading_Strategies.pdf
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Institution: Singapore Management University
Language: English