The parameters of popular factor models for interest rates, such as the Heath-Jarrow-Morton model, are known to be mean-reverting. The study of the speed at which the mean reversion happens has been ...

The Treasury yield premium model by Jens H.E. Christensen and Glenn D. Rudebusch (CR) decomposes the nominal yield curve into three components: future short-term interest rate expectations, a term ...

To better understand the impact for roll yields and curve shapes on commodity investments, we have closely examined UBS Constant Maturity Commodity Index and its consistent performance ... No content ...