Blar i BI Open på forfatter "Grov, Eirik Kollen"
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The Risk and Return Characteristics of the U.S. Treasury Basis Trade
Nestangen, Mats Holtan; Grov, Eirik Kollen (Master thesis, 2023)We conduct an analysis of the risk and return characteristics of the U.S. Treasury basis trade by regressing the strategy returns of the 2-year, 5-year and 10-year futures contracts on a variety of bond and equity market ...