Front-End Rates and Long-End Relative Value in the U.S. Treasury Curve
A lagged reference gap lowers twenty-observation official-curve forecast mean squared error (MSE) by 3.48 percent.
GARCH Institute
Company · US · 2 documents
Key number
3.48 percent
Twenty-observation official-curve forecast MSE improvement. Research Square p.2
Common Policy Communication and Sovereign Yield Curves
Between 2014-2019 and 2020-2025, two-year yield commonality rose from 45.2% to 56.4%, while ten-minus-two-year slope commonality declined from 66.7% to 56.4%.