RT Journal Article
SR Electronic
T1 Short-Term Predictability of the Term Structure
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 7
OP 14
DO 10.3905/jfi.2004.461448
VO 14
IS 3
A1 Haim Reisman
A1 Gady Zohar
YR 2004
UL https://pm-research.com/content/14/3/7.abstract
AB 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.