Learning From Disagreement in the U.S. Treasury Bond Market
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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.… read more here.
Keywords: treasury; market; disagreement treasury; learning rule ... See more keywords