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What is Predicting 10-Year Swap Spread Directions about?

This document describes a study that aims to predict the direction of 10-year swap spreads using logistic regression models. The study hypothesizes that 1) the fair value of swap spreads can be modeled using linear regression on related financial data, and 2) the direction of swap spreads can be predicted using mispricing data from the fair value model and technical indicators as explanatory variables. The document outlines the data collected, including time series data on interest rates, stock prices, and

Author

alexa_sherpy

Language

EN