Dillon Hall Associate Professor of Economics, University of Notre Dame
Research Associate, National Bureau of Economic Research
Associate Editor, Review of Economics and Statistics
Please cite as follows:
Yan Liu and Jing Cynthia Wu "Reconstructing the Yield Curve", Journal of Financial Economics, forthcoming.
Download data (1961 - 2020)
Yields (main file): monthly, daily
Bandwidths: monthly, daily
Daniele Bianchi, Matthias Büchner, Andrea Tamoni, "Bond Risk Premiums with Machine Learning", The Review of Financial Studies, forthcoming.
Richard K. Crump and Nikolay Gospodinov, "Deconstructing the Yield Curve", Federal Reserve Bank of New York Staff Reports No. 884