Tag: time series analysis

Across assets, carry is defined as return for unchanged prices and is calculated based on the difference between spot and futures prices (view post...

The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates....

The term structure of sovereign credit default swaps (CDS) is indicative of country-specific financial shocks because rising country risk affects short-dated maturities more than...