Time-varying Duration And Value Factor Correlation With Rates (PGIM Quantitative Solutions)
The relationship between value factor returns & interest rates is explained by time-varying duration of a…
The relationship between value factor returns & interest rates is explained by time-varying duration of a…
We study the impact of economic surprises in the US in three different markets: namely foreign exchange,…
In September 2022, James Simons spoke with members of the Journal of Investment Consulting editorial board about…
We study the effects of dollar swap lines using high frequency responses in asset prices around policy…