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estimate an OLS regression with the 1Y (10Y) daily changes as the dependent variable and r_t^5Y as the independent variable. This unconditional regression model can
estimate an OLS regression with the 1Y (10Y) daily changes as the dependent variable and r_t^5Y as the independent variable. This unconditional regression model can be written as: r_t^T= r_t^5Y _t where T is either 1Y or 10Y maturity. Comment on your findings
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Essentials of Business Analytics
Authors: Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
2nd edition
1305627733, 978-1305861817, 1305861817, 978-0357688960, 978-1305627734
