by Gareth W. Peters, Nino Kordzakhia, Pavel V. Shevchenko, Peilun He
Continue on SelfMadeQuant
Suggested foundations for financial time series and rates and fixed income. Specialist prerequisites vary by paper.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Study long-run relationships without confusing them with correlation.
Check the assumptions behind reported estimates.
Build a consistent discount curve.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.