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Tag: treasury-bonds
4 items with this tag.
Apr 13, 2026
The regime-shift risk premium is an economically large component of the term premium in long-maturity US Treasury bonds
risk-premium
regime-switching
term-structure
treasury-bonds
no-arbitrage
Apr 13, 2026
State-dependent Markov transition probabilities significantly improve fit of US Treasury yield dynamics over constant-transition regime-switching DTSMs
term-structure
regime-switching
no-arbitrage
treasury-bonds
model-comparison
Apr 13, 2026
Regime-Switching Affine Term Structure Model
term-structure
regime-switching
no-arbitrage
affine
treasury-bonds
Apr 13, 2026
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
term-structure
regime-switching
no-arbitrage
treasury-bonds
gaussian-affine
monetary-policy