represented parsimoniously by a two-factor arbitrage-free NS model. I derive such a model and apply it to investigating changes in …

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is … various empirical limits-to-arbitrage proxies correlate differently with different parts of the basis term …

-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap … contract strategies. Fully documented code illustrating the theory and the applications is available at MATLAB Central …