Treasury Option Returns and Models with Unspanned Risks

Name: Treasury Option Returns and Models with Unspanned Risks
Creator: Gurdip Bakshi
Published: 2023-10-04T09:11:27.917Z
Keywords: Determination of Interest Rates

Bakshi, Gurdip; Crosby, John; Gao, Xiaohui; Hansen, Jorge Wolfgang

doi:10.17632/6fmgkf397t.2

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 Hansen

Description

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.

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Please see the published paper and README file for description of data and variable construction.

Treasury Option Returns and Models with Unspanned Risks

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