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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