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Predicting Returns In Us Treasuries: Do Tents Matter?

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  • R. REBONATO

    (EDHEC Risk Institute — EDEHC Business School, 10 Fleet Place, London, UK)

Abstract

We look at the economic significance and at the robustness of the new-generation, tent-shaped return-predicting factors in US Treasuries. We find that, in itself, the precise tent shape is neither robust nor important for predictability. However, we explain why the high number of regressors needed to build a tent factor are required for high predictability, and we provide an economic interpretation for the finding.

Suggested Citation

  • R. Rebonato, 2018. "Predicting Returns In Us Treasuries: Do Tents Matter?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-13, November.
    • Handle: RePEc:wsi:ijtafx:v:21:y:2018:i:07:n:s0219024918500474
    DOI: 10.1142/S0219024918500474
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    References listed on IDEAS

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