Liu-Wu Yield Data
Papers Using Our Data
Leland Farmer, Emi Nakamura, and Jón Steinsson, "Learning About the Long Run", 2021, working paper.
Daniele Bianchi, Matthias Büchner, and Andrea Tamoni, "Bond Risk Premiums with Machine Learning", The Review of Financial Studies, 2021, 34(2), 1046–1089.
Runqing Wan, Andras Fulop, and Junye Li, "Real-time Bayesian learning and bond return predictability", Journal of Econometrics, 2021, forthcoming.
Joseph G. Haubrich, "Does the Yield Curve Predict Output?", Annual Review of Financial Economics, 2021, 13, 341-362.
Richard K. Crump and Nikolay Gospodinov, "Deconstructing the Yield Curve", 2019, Federal Reserve Bank of New York Staff Reports No. 884.
Siem Jan Koopman, Julia Schaumburg, and Quint Wiersma, "Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels", 2021, Tinbergen Institute Discussion Paper 2021-008/III.
Pierluigi Balduzzi, Michael Connolly, and Alan J. Marcus, "Greek-based Bond Factors", 2021, working paper.
Junye Li, Lucio Sarno, and Gabriele Zinna, "Risks and Risk Premia in the US Treasury Market", 2021, working paper.
Tobias Hoogteijling, Martin P.E. Martens, and Michel van der Wel, "Forecasting Bond Risk Premia using Stationary Yield Factors", 2021, working paper.
Markus Sihvonen, "Yield Curve Momentum", 2021, working paper.