Treasury Option Returns and Models with Unspanned Risks
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.
Steps to reproduce
Please see the published paper and README file for description of data and variable construction.