Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …

We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …

No-arbitrage term structure models impose cross-sectional restrictions among yields and
can be used to impose dynamic restrictions on risk compensation. This paper evaluates the …

Expectations theories of asset returns may be interpreted either as stating that risk premia
are zero or that they are constant through time. Under the former interpretation, different …

We study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …

Conditional maximum Sharpe ratios implied by fully flexible four-factor and five-factor
Gaussian term structure models are astronomically high. Estimation of term structure models …

We examine the importance of incorporating macroeconomic information and, in particular,
accounting for model uncertainty when forecasting the term structure of US interest rates. We …

This paper explores the time variation in the bond risk, as measured by the covariation of
bond returns with stock returns and consumption growth, and in the volatility of bond returns …