d'Arienzo, Daniele - 2020
Long-term treasury yields are known to be (i) excessively volatile (Giglio and Kelly, 2018), (ii) highly sensitive to short-rate movements (Hanson et al., 2018), and (iii) highly predictable from non-priced factors (Duffee, 2013). I assess the possibility that these puzzles may be due to...