Bond risk premia and Gaussian term structure models
Year of publication: |
March 2018
|
---|---|
Authors: | Feunou, Bruno ; Fontaine, Jean-Sébastien |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 3, p. 1413-1439
|
Subject: | term structure models | bond risk premium | unspanned risk | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Anleihe | Bond | Theorie | Theory |
-
Return-predicting factors for us treasuries : on the similarity of “tents” and “bats”
Rebonato, Riccardo, (2015)
-
The cross-section and time series of stock and bond returns
Koijen, Ralph S. J., (2017)
-
Equity tail risk in the treasury bond market
Ruzzi, Dario, (2020)
- More ...
-
Which model to forecast the target rate?
Feunou, Bruno, (2017)
-
Tractable term-structure models and the zero lower bound
Feunou, Bruno, (2015)
-
Secular economic changes and bond yields
Feunou, Bruno, (2021)
- More ...