Empirical Studies
Transforming Yield Curve Swings Into Income Streams (1997)
A Seminar I gave to a local quant group on how to use binary choice yield curve models to generate an overlay income stream for any portfolio using bond futures. (13 pages)
An Empirical Look at Cash Bond Market Volatility (1994)
An empirical examination of the causal factors driving volatility in the US Treasury bond market. (8 pages)
An Analysis of Equity Market Volatility (1996)
A review for our option overlay clients at the time on the major factors determining US Equity Market volatility in the previous year. (15 pages)
The "Clumping" of Bond Market Volatility (1994)
A non-parametric test as to whether periods of bond market volatility tend to "clump together," as measured by frequency of large daily price swings. (3 pages)
Impact of Fed Policy Shifts on the Stock Market (1994)
A brief study for our clients of how interest rate policy change announcements by the US Federal Reserve Board affect the US stock markets. (4 pages)
Trading the "Holiday Effect" in Bonds (1994)
A brief research piece conducting an event study to search for evidence of a "holiday effect" pattern in US bond market trading around pre-announced US holidays. (4 pages)
The Yield Curve After Large US Dollar Declines (1994)
Short research piece identifying certain patterns of behavior in the US Treasury yield curve following very sharp and sudden declines in the US dollar. (3 pages)
Bill Trading Around Treasury Refunding Settlements (1993)
A brief test of the hypothesis that short-term interest rates are systematically affected by the patternistic behavior of the US Treasury in scheduling its major debt refundings. (5 pages)
Yield Curve Inversions: All But Inevitable? (1994)
Brief historical study of whether inversions of the US yield curve are a necessary outcome of a tightening of monetary policy by the US Federal Reserve. (3 pages)
Market Reactions in Front of US Presidential Elections (1992)
A brief recap of how US stock, bond and currency markets have reacted, in direction and volatility, in the runup to US Presidential Elections. (2 pages)
Leading Indicators of Inflation (1987)
An empirical comparison of a time series model vs. a cross-sectional model for predicting the onset of inflation in the United States. (4 pages)
A Return-Enhancing Overlay with Zero Correlation (1998)
An analysis of how uncorrelated binary choice models can be used to run a zero-correlation portfolio overlay. (25 pages)