The Cochrane-Piazzesi Return Forecasting Factor

The Cochrane and Piazzesi (2005, CP) return-forecasting factor is a single, tent-shaped linear combination of forward rates that predicts excess returns on Treasury bonds across all maturities. In my view, the CP factor is truly a pioneering breakthrough in the history of macro-finance term structure models (MTSMs). It also laid the empirical foundation for the Unspanned Macro Risk (UMR) framework pioneered by Duffee (2011) and Joslin, Priebsch, and Singleton (2014), which was a needle in a haystack discovery and serves as a crucial stepping stone toward the eventual complete MTSM.

From CP(2008)

Rocky - Stepping into the Ring

Rocky entered the ring to win after a long and dedicated training. He pushed himself to the limit, checking every weak point over and over again. In a world where many give up or settle for less, he proved that persistence is the only way to make a difference. In the end, he became our undisputed champion.

Comparison of 10Y Expectations Component and Term Premium: The Celebrated ACM Model vs. Lee Model

R : VAR(1) Simulation

This post explains how to perform simulations of a VAR(1) model.

R: A Simple Replication of Cointegration Test Results

This post is a straightforward replication of the Johansen cointegration test results from Johansen and Juselius (1990) using R urca package.

Romance of the Three Kingdoms (三國志演義)

Romance of the Three Kingdoms is acclaimed as one of the great classical novels of Chinese literature and it is very interesting and famous all over the world.

Ballad Songs

Here are some of the best Korean ballad albums for relaxation.

Equivalence of VAR models between original variables and their linear transformations

This post demonstrates the VAR forecasting equivalence between original variables and their linear transformations by examining a simple example.

Use a Python script to read and write on Excel File in Python

This post demonstrates how to utilize the xlwings Python package to execute a Python script to read and write Excel in Python.

Enumeration of combinations and permutations in R

This post demonstrates how to enumerate combinations and permutations using R.

Executing a Python script within Excel using xlwings

This post demonstrates how to utilize the xlwings Python package to execute a Python script within Excel.