Narrow search
Showing 1 - 10 of 99,069
Cover Image
Chapter 13. Bond Pricing and the Macroeconomy
Duffee, Gregory R. - 2013
explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …
Persistent link: https://www.econbiz.de/10014025365
Cover Image
Bond risk premia in consumption-based models
Creal, Drew; Wu, Jing Cynthia - 2016
Persistent link: https://www.econbiz.de/10011476470
Cover Image
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
Cover Image
The pruned state-space system for non-linear DSGE models : theory and empirical applications
Andreasen, Martin Møller; Fernández-Villaverde, Jesús; … - In: The review of economic studies 85 (2018) 1, pp. 1-49
Persistent link: https://www.econbiz.de/10011920114
Cover Image
Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a … deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by …
Persistent link: https://www.econbiz.de/10013521005
Cover Image
Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically
Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015
Macroeconomic models that are based on either the rational expectations hypothesis (REH) or behavioral considerations share a core premise: All future market outcomes can be characterized ex ante with a single overarching probability distribution. This paper assesses the empirical relevance of...
Persistent link: https://www.econbiz.de/10011309720
Cover Image
Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10014025359
Cover Image
Chapter 15 Anomalies and market efficiency
Schwert, G. William - 2003
Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. After they are documented and analyzed in the academic...
Persistent link: https://www.econbiz.de/10014023856
Cover Image
Seasonality in government bond returns and factor premia
Zaremba, Adam; Schabek, Tomasz - In: Research in international business and finance 41 (2017), pp. 292-302
Persistent link: https://www.econbiz.de/10011914502
Cover Image
Pricing like things alike : the role of financial statement comparability in bond pricing
Cao, Shijiao; Wang, Jianqiong; Zhou, Jianan - In: International review of economics & finance : IREF 79 (2022), pp. 428-447
Persistent link: https://www.econbiz.de/10013345727