Treasury Option Returns and Models with Unspanned Risks
Published: 4 October 2023| Version 2 | DOI: 10.17632/6fmgkf397t.2
Contributors:
Gurdip Bakshi, John Crosby, Xiaohui Gao, Jorge Wolfgang HansenDescription
This data depository contains all code/data necessary to replicate "Treasury Option Returns and Models with Unspanned Risks", authored by G. Bakshi, J. Crosby, X. Gao, and J. W. Hansen, forthcoming in the Journal of Financial Economics. Please see the README file for details on files and code provided.
Files
Steps to reproduce
Please see the published paper and README file for description of data and variable construction.
Categories
Determination of Interest Rates