Relevant bibliographies by topics / Treasury Bond

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Treasury Bond'

Author: Grafiati
Published: 4 June 2021
Last updated: 26 July 2025

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Journal articles on the topic "Treasury Bond"

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Li, Ming, Shaofeng Yuan, and Yiwen Jiang. "The Analysis of the Characteristics and the Reasons of China Treasury Bond Futures." GIS Business 11, no. 5 (2016): 01–10. http://dx.doi.org/10.26643/gis.v11i5.3404.

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Treasury bond futures basis is one of the core indicators of futures market operation quality. Identifying characteristics and causes of futures basis from an objective respect are of realistic significance for correctly understanding and improving the treasury bond futures market. Based on the analysis of Chinas treasury bond futures basis, the article summarizes the main factors affecting treasury bond futures basis, elaborates the market impact of characteristics of treasury bond futures spread, and then offers a proposal to improve the treasury bond futures market.
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Lee, Jaehoon. "Risk Premium Information from Treasury-Bill Yields." Journal of Financial and Quantitative Analysis 53, no. 1 (2018): 437–54. http://dx.doi.org/10.1017/s0022109017000813.

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I find that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate 2 components of risk premiums: long term and short term. The long-term component steepens the slope of yield curves and has a forecastability horizon of longer than 1 year. In contrast, the short-term component affects Treasury-bill yields but is almost invisible from Treasury bonds, has a forecastability horizon of less than 1 quarter, and is related to bond liquidity premiums.
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Zhang, Zihan. "Research on Treasury Bond Futures Trading Strategy Based on ARIMA Model." Finance and Market 5, no. 3 (2020): 201. http://dx.doi.org/10.18686/fm.v5i3.2596.

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<p>This paper uses the ARIMA model to analyze the yield to maturity of China’s 10-year Treasury Bonds, and uses this yield rate to establish an investment strategy for 10-year Treasury Bond Futures (continuous in the current quarter). And then the strategy was back-tested in periods. In this paper, firstly, based on the ARIMA model, the full-sample fitting of the 10-year Treasury Bond yield to maturity series is carried out, and the fitting effect is confirmed. Then, the signal indicators and position sequence are established by comparing the iterative predicted value and the observed va
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Abakah, Emmanuel Joel Aikins, Aviral Kumar Tiwari, Aarzoo Sharma, and Dorika Jeremiah Mwamtambulo. "Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors." Journal of Risk and Financial Management 15, no. 10 (2022): 477. http://dx.doi.org/10.3390/jrfm15100477.

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This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 to 10 March 2021. We use daily prices of S&P U.S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 ob
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Zwak-Cantoriu, Maria-Cristina. "The Contagion of International Crises: Implications of Inflation and Investor Sentiment on Stock and Treasury bond Returns." Proceedings of the International Conference on Business Excellence 17, no. 1 (2023): 1818–38. http://dx.doi.org/10.2478/picbe-2023-0161.

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Abstract In recent years, the stock market has faced numerous challenges generated by unexpected events that had a major impact on the global economy. Thus, through this paper, which is based on the analysis of the relationships between inflation, stock market yields and treasury bond yields in the context of international crises, it is intended to illustrate the possible effects of inflation on stock market yields and treasury bonds, as well as to compare the performance of stock market indices and treasury bonds in relation to the corresponding inflation. The main objective of this paper was
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Sumantri, M.M, Joko. "STUDI PENDAHULUAN PENGARUH PENERIMAAN DAN PENGELUARAN NEGARA TERHADAP IMBAL HASIL MISMATCH TREASURY BILLS." JURNAL PAJAK INDONESIA (Indonesian Tax Review) 1, no. 1 (2017): 52–64. http://dx.doi.org/10.31092/jpi.v1i1.168.

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The purpose of this preliminary study is to assist the Indonesian government and investors in predicting the effect of changes in state revenues and expenditures on yields on bonds to be issued under the name "mismatch treasury bills". The yield of treasury bills mismatch debt is proxied with 3-Month Indonesian Bond Yield indicator. By using linear regression analysis, state revenues and expenditure variables do not show a significant influence on the 3-Month Indonesian Bond Yield indicator.
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Ariff, M., A. Chazi, M. Safari, and A. Zarei. "Significant Difference in the Yields of Sukuk Bonds versus Conventional Bonds." Journal of Emerging Market Finance 16, no. 2 (2017): 115–35. http://dx.doi.org/10.1177/0972652717712352.

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Bond yields of Treasury and corporate bonds are observed in a listed exchange. This article reports the findings on the market yield behaviour of two types of debt securities in the same exchange, the sharia-compliant sukuk bonds and the normal conventional bonds. There are 17 exchanges where sukuk bonds are traded, and the outstanding value is estimated at US$ 1,200 billion. The average yields of sukuk Treasury bonds are significantly higher (premium) than that of conventional Treasury bonds. On the other hand, investors in the sukuk corporate bonds receive slightly lower returns (discount) o
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Permanasari, Intan, and Augustina Kurniasih. "Factors Affecting the Yield of Indonesia Government Bonds 10 Years." European Journal of Business and Management Research 6, no. 1 (2021): 243–48. http://dx.doi.org/10.24018/ejbmr.2021.6.1.753.

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The purpose of this research is to analyze the effect of inflation, interest rates, the rupiah exchange rate, and the US 10-Year Treasury on the Indonesian Government Bond Yield. The study population was all yield tenors of the benchmark series Government bonds for the period 2017 to 2019. This study is an associative causality study. The research sample is Indonesian government bonds with a tenor of 10 years. Data were analyzed using multiple linear regression approach. The results show that inflation and US 10-Year Treasury have no effect on the Indonesian Government Bond Yield. Interest rat
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Butkiewicz, James L., and Mihaela Solcan. "The original Operation Twist: the War Finance Corporation's war bond purchases, 1918–1920." Financial History Review 23, no. 1 (2016): 21–46. http://dx.doi.org/10.1017/s0968565016000068.

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In 1918 the United States Treasury delegated to the War Finance Corporation, a newly created off-budget federal agency, the task of buying Liberty bonds and later Victory notes in an effort to stabilize prices. Bayesian vector autoregression analysis of the security purchases indicates that the WFC purchases provided statistically significant price support, and marginally lowered bond yields while the program operated. Once WFC purchases ended, war bond yields increased substantially. Between bond issues, the Treasury financed its operations, including security purchases from the WFC, by issui
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Swinkels, Laurens. "Treasury Bond Return Data Starting in 1962." Data 4, no. 3 (2019): 91. http://dx.doi.org/10.3390/data4030091.

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Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly available. The purpose of this study is to provide these currently not publicly available return series and provide formulas such that these series can easily be updated by researchers. We use standard textbook formulas to convert the yield-to-maturity data
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Dissertations / Theses on the topic "Treasury Bond"

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Freixa, Carlos Miguel Silva. "Treasury bond returns and U.S. political cycles." Master's thesis, NSBE - UNL, 2009. http://hdl.handle.net/10362/9478.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>This work-project complements the existing studies on the linkage between financial investments returns and the political cycles, by relating Treasury bond returns and Presidential cycles. Previous research shows that stock market tends to behave better during Democratic presidencies, and in this work it is shown a compatible result, with long-term Treasury bonds having higher absolute, and excess returns during Republican Administrati
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Karimi, Niousha, and Isac Lago. "Green Bond’s co-movement with the treasury bond, corporate bond, stock, and carbon markets during an economic recession." Thesis, Jönköping University, IHH, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52683.

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Background: With the tremendous growth of the Green Bond (GB) market, understanding the relationship of the GB market with other financial markets gains importance. The Covid19 pandemic causing a recession in most major economies creates an opportunity to see the co-movements of the GB market with other financial markets under a period of economic crisis. Purpose: This study aims to use the economic contraction catalyzed by the 2020’s Covid-19 pandemic as a means to investigate the co-movements between the GB and the treasury bond, corporate bond, stock, and carbon markets during an economic r
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Sigaux, Jean-David. "Essays on Sovereign Bond Markets." Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLH005/document.

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Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui condu
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Sugiyarto, Wawan. "An analysis of the performance of the Indonesian treasuries market." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/206023/1/Wawan_Sugiyarto_Thesis.pdf.

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This thesis examines the performance of the discriminatory-price auction relative to the uniform-price auction in the Indonesian treasuries’ market. Employing a counterfactual analysis, it derives optimal bidding conditions for both auction methods. For a large sample of Islamic (Sukuk) and conventional treasury bill auctions between 2003 and 2017, the results show that switching from a discriminatory-price auction to a uniform-price auction is expected to improve both auction revenue and efficiency. These benefits are especially pronounced during times of high market uncertainty, but decline
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Grill, Tomas, and Håkan Östberg. "A Financial Optimization Approach to Quantitative Analysis of Long Term Government Debt Management in Sweden." Thesis, Linköping University, Department of Mathematics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-2223.

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<p>The Swedish National Debt Office (SNDO) is the Swedish Government’s financial administration. It has several tasks and the main one is to manage the central government’s debt in a way that minimizes the cost with due regard to risk. The debt management problem is to choose currency composition and maturity profile - a problem made difficult because of the many stochastic factors involved. </p><p>The SNDO has created a simulation model to quantitatively analyze different aspects of this problem by evaluating a set of static strategies in a great number of simulated futures. This approach has
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Huber, Florian, and Maria Teresa Punzi. "The shortage of safe assets in the US investment portfolio: Some international evidence." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5460/1/wp243.pdf.

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This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generall
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Scalia, Antonio. "Market microstructure and information : an empirical analysis of trading on Italian treasury bonds." Thesis, London Business School (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.244127.

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Juhászová, Jana. "Statistical Arbitrage in Algorithmic Trading of US Bonds." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359481.

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This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algor
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Tiozzo, Pezzoli Luca. "Specification analysis of interest rates factors : an international perspective." Phd thesis, Université Paris Dauphine - Paris IX, 2013. http://tel.archives-ouvertes.fr/tel-00999298.

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The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solve
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Kunc, Vojtěch. "Státní dluh ČR, jeho financování a srovnání s vybranými státy." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-10507.

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This thesis deals with debt management carried out in the Czech Republic. Financial instruments (treasury bills, treasury bonds) which are used to manage state debt are described. Analysis for the Czech Republic encompasses period between years 1993 and 2008. It also contains comparison of debt management with selected OECD countries.
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Books on the topic "Treasury Bond"

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Conti, V., R. Hamaui, and H. M. Scobie, eds. Bond Markets, Treasury and Debt Management. Springer Netherlands, 1994. http://dx.doi.org/10.1007/978-94-011-1208-6.

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London International Financial Futures Exchange., ed. United States Treasury Bond futures and options. LIFFE, 1988.

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London International Financial Futures Exchange. United States Treasury Bond futures and options. LIFFE, 1986.

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Trade, Chicago Board of, ed. The Delivery process in brief: Treasury bond and treasury note futures. Chicago Board of Trade, 1990.

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Longstaff, Francis A. The flight-to-liquidity premium in U.S. Treasury bond prices. National Bureau of Economic Research, 2002.

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Scalia, Antonio. Bidder profitability under uniform price auctions and systematic reopenings: The case of Italian treasury bonds. Banca d'Italia, 1997.

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Burghardt, Galen D. The treasury bond basis: An in-depth analysis for hedgers, speculators, and arbitrageurs. Probus Pub. Co., 1994.

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Burghardt, Galen. The treasury bond basis: An in-depth analysis for hedgers, speculators, and arbitrageurs. Probus Pub. Co., 1989.

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Trade, Chicago Board of, ed. Inflation-indexed treasury note & bond futures and options: The reference and applications guide. Chicago Board of Trade, 1997.

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E, Keller Werner, ed. Cash and carry in Treasury bond futures: A comparison of two data sources. Columbia University Business School, Center for the Study of Futures Markets, 1985.

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Book chapters on the topic "Treasury Bond"

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Qing, Wang. "Priority Construction Treasury Bond." In Dictionary of Contemporary Chinese Economics. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-97-4036-9_918.

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Cooper, Robert. "The Bond Markets." In Corporate Treasury and Cash Management. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946010_6.

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Cooper, Robert. "Bond Valuation and Credit Ratings." In Corporate Treasury and Cash Management. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946010_5.

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Chen, Ren-Raw, and Shih-Kuo Yeh. "Analytical Bounds for Treasury Bond Futures Prices." In Handbook of Financial Econometrics and Statistics. Springer New York, 2014. http://dx.doi.org/10.1007/978-1-4614-7750-1_71.

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Kobor, Adam. "Bond Portfolio Hedging with U.S. Treasury Futures." In Derivatives Applications in Asset Management. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-86354-7_14.

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Conti, V., and R. Hamaui. "Introduction." In Bond Markets, Treasury and Debt Management. Springer Netherlands, 1994. http://dx.doi.org/10.1007/978-94-011-1208-6_1.

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De Felice, G., and G. Miranda. "Institutional investors and financial markets: evidence from an international comparison." In Bond Markets, Treasury and Debt Management. Springer Netherlands, 1994. http://dx.doi.org/10.1007/978-94-011-1208-6_10.

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Giovannini, A., and G. Piga. "Understanding the high interest rates on Italian government securities." In Bond Markets, Treasury and Debt Management. Springer Netherlands, 1994. http://dx.doi.org/10.1007/978-94-011-1208-6_2.

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Drudi, F., and G. Majnoni. "The determinants of yield differentials in favour of the lira: a quantitative analysis." In Bond Markets, Treasury and Debt Management. Springer Netherlands, 1994. http://dx.doi.org/10.1007/978-94-011-1208-6_3.

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Pittaluga, G. B., and G. Vaciago. "Portfolio choices and real interest rates: the role of savers’ age structure." In Bond Markets, Treasury and Debt Management. Springer Netherlands, 1994. http://dx.doi.org/10.1007/978-94-011-1208-6_4.

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Conference papers on the topic "Treasury Bond"

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Siran, Lian, and Zhao Jianya. "Predictive Analysis of Treasury Bond Risk Based on Combinatorial Intelligence Algorithm." In 2024 IEEE 2nd International Conference on Sensors, Electronics and Computer Engineering (ICSECE). IEEE, 2024. http://dx.doi.org/10.1109/icsece61636.2024.10729550.

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Wang, Si-lu, and Wen-jun Sun. "Study on future-spot arbitrage strategies in China's treasury bond ETF and treasury bond futures based on high-frequency data." In 2014 International Conference on Management Science and Engineering (ICMSE). IEEE, 2014. http://dx.doi.org/10.1109/icmse.2014.6930373.

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WANG, SUSHENG, YONGRUI YU, LICHUN CHEN, and YONGBO KANG. "PRICING AND INFORMATION EFFICIENCY OF TREASURY BOND AND FUTURES MARKET." In The 2015 International Conference on Management, Information and Communication and the 2015 International Conference on Optics and Electronics Engineering. WORLD SCIENTIFIC, 2016. http://dx.doi.org/10.1142/9789814759298_0011.

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Fu, Yee-Tien, and Ted Fu. "Treasury Bond Marketing and E-Retailing: Similarities and Pricing Lessons." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.1955.

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Wang, Susheng, Yongrui Yu, and Huimin Liu. "A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method." In 2015 International conference on Engineering Management, Engineering Education and Information Technology. Atlantis Press, 2015. http://dx.doi.org/10.2991/emeeit-15.2015.62.

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Peng, Xuanhua, Yongkui Li, Zhiying Chen, and Xiaole Guo. "Volatility of Treasury bond futures Price: evidence from Tick-by-Tick data." In Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017). Atlantis Press, 2017. http://dx.doi.org/10.2991/wrarm-17.2017.10.

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Chenggang, Li, and Tian Yixiang. "Notice of Retraction: Does flight exist in stock, Treasury bond and corporate bond markets? — Empirically study based on security market in China." In 2011 International Conference on E-Business and E-Government (ICEE). IEEE, 2011. http://dx.doi.org/10.1109/icebeg.2011.5882117.

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Hu, Zhiqiang, and Feng Lin. "An Empirical Study on the Variation of the Treasury Bond Yield Curve Based on the Principal Component Analysis in China." In 2007 3rd International Conference on Wireless Communications, Networking, and Mobile Computing - WiCOM '07. IEEE, 2007. http://dx.doi.org/10.1109/wicom.2007.1014.

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Rong, Zeyang. "An Empirical Study on the Relationship between the balance of treasure Yield and the Interest Rate of Treasury Bonds." In 2nd International Conference on Education Technology and Economic Management (ICETEM 2017). Atlantis Press, 2017. http://dx.doi.org/10.2991/icetem-17.2017.22.

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Ping, Yu, and Liu Qin. "Notice of Retraction: Discussion on the management of US treasury bonds." In 2011 International Conference on E-Business and E-Government (ICEE). IEEE, 2011. http://dx.doi.org/10.1109/icebeg.2011.5881495.

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Reports on the topic "Treasury Bond"

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Fleckenstein, Matthias, Francis Longstaff, and Hanno Lustig. Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle. National Bureau of Economic Research, 2010. http://dx.doi.org/10.3386/w16358.

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Aizenman, Joshua, Gazi Salah Uddin, Tianqi Luo, Ranadeva Jayasekera, and Donghyun Park. Effect of Macroprudential Policies on Sovereign Bond Markets: Evidence from the ASEAN-4 Countries. Asian Development Bank, 2023. http://dx.doi.org/10.22617/wps230361-2.

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The paper investigates the effect of prudential policies on sovereign bond vulnerability to global spillover risk in ASEAN-4 countries (Indonesia, Malaysia, the Philippines, and Thailand). Using a risk network among sovereign bonds, the direct effect is that markets with tighter prudential policies have significantly smaller spillovers from the Treasury yield shocks of other regional and global economies. Combining with indirect effects, prudential policies reduce sovereign spillover risks in the long term. These findings suggest prudential policies have dual efficiency in sovereign risk regul
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Duffie, Darrell, Michael J. Fleming, Frank M. Keane, Claire Nelson, Orr Shachar, and Peter Van Tassel. Dealer Capacity and U.S. Treasury Market Functionality. Federal Reserve Bank of New York, 2023. http://dx.doi.org/10.59576/sr.1070.

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We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the intermediation capacity of bond markets.
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Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, 2021. http://dx.doi.org/10.32468/be.1171.

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We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information
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Longstaff, Francis. The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices. National Bureau of Economic Research, 2002. http://dx.doi.org/10.3386/w9312.

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Rincón-Torres, Andrey Duván, Luisa María de la Hortúa-Pulido, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Low Frequency Effect of Macroeconomic News on Colombian Government Bond Yields. Banco de la República, 2023. http://dx.doi.org/10.32468/be.1263.

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We study the effect of macroeconomic announcements surprises on Colombian treasury bond spot rates in the medium term. For this, we employ a two-step regression approach proposed by Altavilla, Giannone and Modugno (2017), which takes into account the high frequency response to these surprises while filtering out the noise in the estimation of its medium to long term effect. We found that the share of variation of one day Colombian treasury bond spot rates changes explained by these surprises lies below 10%. Moreover, Colombian macroeconomic announcement surprises other than the nominal exchang
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de Luis, Mercedes, Emilio Rodríguez, and Diego Torres. Machine learning applied to active fixed-income portfolio management: a Lasso logit approach. Banco de España, 2023. http://dx.doi.org/10.53479/33560.

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The use of quantitative methods constitutes a standard component of the institutional investors’ portfolio management toolkit. In the last decade, several empirical studies have employed probabilistic or classification models to predict stock market excess returns, model bond ratings and default probabilities, as well as to forecast yield curves. To the authors’ knowledge, little research exists into their application to active fixed-income management. This paper contributes to filling this gap by comparing a machine learning algorithm, the Lasso logit regression, with a passive (buy-and-hold)
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8

Kane, Alex, and Alan Marcus. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market. National Bureau of Economic Research, 1985. http://dx.doi.org/10.3386/w1614.

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9

Bordo, Michael, and John Duca. How the New Fed Municipal Bond Facility Capped Muni-Treasury Yield Spreads in the Covid-19 Recession. National Bureau of Economic Research, 2021. http://dx.doi.org/10.3386/w28437.

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10

Krishnamurthy, Arvind, and Wenhao Li. The Demand for Money, Near-Money, and Treasury Bonds. National Bureau of Economic Research, 2022. http://dx.doi.org/10.3386/w30051.

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