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Version 1

Treasury Option Returns and Models with Unspanned Risks

Published:27 September 2023|Version 1|DOI:10.17632/6fmgkf397t.1
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.

Steps to reproduce

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

Categories

Determination of Interest Rates

Licence

Creative Commons Attribution 4.0 International

Version 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.

Steps to reproduce

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

Categories

Determination of Interest Rates

Licence

Creative Commons Attribution 4.0 International