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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Main Authors: | CHUA, Choong Tze, KOH, Winston T. H., Ramaswamy, Krishna |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2006
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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 |
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