Fuijwara, Ippei; Korber, Lena Mareen; Nagakura, Daisuke - East Asian Bureau of Economic Research (EABER) - 2013
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted … bond returns in particular for short maturities. This finding has important implications for modelling and forecasting … government bond returns. For example, widely used models for yield curve analysis such as the affine term structure model assume …