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Published in 2020 at "Journal of Finance"
DOI: 10.1111/jofi.12971
Abstract: This paper studies an arbitrage-free dynamic term structure model of a Bayesian learner who presumes that dispersion of beliefs is priced in Treasury markets and that measured dispersion has forecasting power for future Treasury yields.…
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Keywords:
treasury;
market;
disagreement treasury;
learning rule ... See more keywords