Yield curve premia: an empirical analysis of principal and styles components in bonds' returns
Conti, Jacopo (A.A. 2023/2024) Yield curve premia: an empirical analysis of principal and styles components in bonds' returns. Tesi di Laurea in Fixed income, credit and derivatives, Luiss Guido Carli, relatore Alberto Cybo-Ottone, pp. 115. [Master's Degree Thesis]
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Abstract/Index
Dataset analysis, bond data, yield curves, and equity markets. Zero coupon yield data. Global equity markets. Macroeconomic data. Summary statistics. Level, slope, and curvature portfolios. Style factors. Methodology and the cross-section of yield curve premium. Methodology description. Results. Tradeable portfolios, and links to other risk premia. Tradeable bond universe and style portfolio construction. Out of sample tests of style performance.
References
Bibliografia: pp. 112-114.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Fixed income, credit and derivatives |
| Thesis Supervisor: | Cybo-Ottone, Alberto |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2023/2024 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Jul 2025 10:14 |
| Last Modified: | 03 Jul 2025 10:14 |
| URI: | https://tesi.luiss.it/id/eprint/42737 |
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