Decomposing Long Bond Returns: A Decentralized Theory

DOI10.1093/ROF/RFAC053MaRDI QIDQ6164059zbMATH OpenFDO

Authors Peter Carr, Liuren Wu

Publication date 30 June 2023

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ROF/RFAC053

zbMATH Keywords

bond return decompositionbutterfly tradescarry effectconvexitydurationexpectationlocal commonalityrisk premiumyield decomposition

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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