Expectations and risk premia at 8:30 a.m. : deciphering the responses of bond yields to macroeconomic announcements
Year of publication: |
2020
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Authors: | Hördahl, Peter ; Remolona, Eli M. ; Valente, Giorgio |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 1, p. 27-42
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Subject: | Affine models | Bond excess returns | Economic announcements | Term structure of interest rates. | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Ankündigungseffekt | Announcement effect | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | CAPM | Anleihe | Bond | Erwartungsbildung | Expectation formation |
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Hördahl, Peter, (2017)
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