A beta based framework for (lower) bond risk premia.
Year of publication: |
2008-09
|
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Authors: | Nobili, Stefano ; Palazzo, Gerardo |
Institutions: | Banca d'Italia |
Subject: | Term structure model | bond risk premium | modern portfolio theory |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 689 |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E47 - Forecasting and Simulation ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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A Beta Based Framework for (Lower) Bond Risk Premia
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