Lyrio, M.

factor model term structure trading structure interest inflation expectation output gap trading rules interest rate certainty equivalent output interest rates level curve shock dynamic tendency equivalent flation figure strategy certainty return signal inflation expectations result table paper variable macro agent risk aversion series trading rule maturity ceqra ceqch ceqrn trading signal chartist trading strategy order information opportunity cost error xt +1 exchange journal policy portfolio estimate measure price parameter trader approach effect inflation expectation component analysis matrix literature regression equation estimation variance yield probability measure market value system aversion time-varying risk premia wiley horizon decomposition investor finance