Instantaneous volatility of the yield curve, variance risk premium and bond return predictability
Year of publication: |
2024
|
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Authors: | Yin, Ximing ; Yang, Ge |
Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 77.2024, Art.-No. 101490, p. 1- 18
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Subject: | Bond return | Instantaneous volatility | Random field | Term structure | Variance risk premium | Risikoprämie | Risk premium | Volatilität | Volatility | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Anleihe | Bond | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns |
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