Decomposing Long Bond Returns: A Decentralized Theory
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More about this item
Keywords
Bond return decomposition; Yield decomposition; Duration; Convexity; Carry effect; Expectation; Risk premium; Local commonality; Butterfly trades;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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