In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of …

predicts price volatility. We then extend the logic of fragility to investigate two natural extensions: (1) the forecast of …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of …

using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … the domestic market (expect in Japan). This study introduces the equity market volatility arising from inflation or the …

volatility of the returns are the concave, bell-shaped functions of the investors' belief if risk aversion is a constant ….The empirical findings in this paper suggest that the expected excess return and the volatility are monotonically increasing … volatility in the bad regime are generated. A second empirical finding is that the stock return predictors, such as the term …