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- W3122783274 abstract "We show the existence of significant short-term momentum in US treasury yields. This is achieved by first applying principal component analysis (PCA) to the term structure, and then modeling the two leading factors as ARIMA processes. While the improvement in the root mean squared error (RMSE) seems marginal, we show that the prediction fundamentally alters the optimal bond allocation, and leads to substantially higher returns." @default.
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- W3122783274 date "2005-01-07" @default.
- W3122783274 modified "2023-09-26" @default.
- W3122783274 title "Short Term Predictability of the Term Structure" @default.
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