@article {Reisman7, author = {Haim Reisman and Gady Zohar}, title = {Short-Term Predictability of the Term Structure}, volume = {14}, number = {3}, pages = {7--14}, year = {2004}, doi = {10.3905/jfi.2004.461448}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This research shows significant short-term momentum in U.S. Treasury yields. The evidence comes from principal components analysis of the term structure, and then modeling the two leading factors as ARIMA processes. Application of the prediction results to bond portfolio selection indicates frequent rebalancing of bond allocations may lead to substantially higher returns.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/14/3/7}, eprint = {https://jfi.pm-research.com/content/14/3/7.full.pdf}, journal = {The Journal of Fixed Income} }