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Browsing Research Articles (Actuarial Science) by Subject "Butterfly strategies"
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Optimal monetary and fiscal policies to maximise non-parallel risk premia in sovereign bond markets (MDPI, 2024-11)In this paper, we analysed several emerging market (EM) and developed market (DM) sovereign yield curves to identify the proportion of parallel and non-parallel shifts over time. We found that non-parallel shifts are ...
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