Carpenter, Jennifer N. - 2020
-arbitrage theory predicts, (2) both bond return volatility and the price of that risk vary stochastically, and (3) there is an …, volatility dynamics play a fundamental role in the dynamics of risk premia, and bond factor Sharpe ratios vary stochastically. In … the US, VIX is a significant predictor of bond factor volatility and price of risk, incremental to yield-curve level …