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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Mind the (convergence) gap : bond predictability strikes back!
Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7888-7911
Persistent link: https://www.econbiz.de/10012815790
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - In: The North American journal of economics and finance : a … 44 (2018), pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
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Spread between the Moody's Aaa-rated corporate bond yield and the yield on municipals : co-integration analysis
Cebula, Richard J.; Capener, Don; Foley, Maggie; … - In: Atlantic economic journal : AEJ 48 (2020) 2, pp. 175-184
Persistent link: https://www.econbiz.de/10012271808
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Has the new bail-in framework increased the yield spread between subordinated and senior bonds?
Pablos Nuevo, Irene - In: The European journal of finance 26 (2020) 17, pp. 1781-1797
Persistent link: https://www.econbiz.de/10012314652
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Sensitivities under G2++model of the yield curve
Jaffal, H.; Rakotondratsimba, Y.; Yassine, A. - In: International journal of financial engineering 4 (2017) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10011673113
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The volatility of long-term bond returns : persistent interest shocks and time-varying risk premiums
Osterrieder, Daniela; Schotman, Peter C. - In: The review of economics and statistics 99 (2017) 5, pp. 884-895
Persistent link: https://www.econbiz.de/10011781305
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Speculation, sentiment, and interest rates
Buraschi, Andrea; Whelan, Paul - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2308-2329
Persistent link: https://www.econbiz.de/10013268155
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Global bond risk premia under falling stars
Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014580460
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Japan's impactful augmentation of quantitative easing sovereign-bond purchases
Inaba, Kei-Ichiro - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012665111