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A Random Thought on Outliers and Science

Oct 21st, 2012 | Filed under: Alpha Strategies

A new paper seeks to resuscitate the expectation hypothesis as a view of how the yield curve works. Karim M. Abadir and Christina Atanasova argue that if one discards a handful of "extreme observations," including such unusual events as the "Volcker experiment" in the U.S. in the early 1980s, EH works quite well as a model. Read More