A plausible model of yield curve dynamics

Gideon Magnus ()

Financial Markets and Portfolio Management, 2016, vol. 30, issue 2, No 4, 205-228

Abstract: Abstract We present a simple model of yield curve dynamics which satisfies key criteria of plausibility. Specifically, yields are non-negative and the Sharpe ratio of a mean-variance optimal bond portfolio has a reasonable magnitude. The model matches stylized data features, in particular long-run moments of yields and excess returns.

Keywords: Term structure modeling; Sharpe ratios (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11408-016-0265-9

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