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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...
Persistent link: https://www.econbiz.de/10012181201
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Price connectedness between green bond and financial markets
Reboredo, Juan Carlos; Ugolini, Andrea - In: Economic modelling 88 (2020), pp. 25-38
Persistent link: https://www.econbiz.de/10012416836
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Investigating the determinants of domestic bonds : the role of socio-economic and institutional factors
Khalid, Ahmed M.; Rajaguru, G. - In: Applied economics 50 (2018) 1, pp. 35-50
Persistent link: https://www.econbiz.de/10011845907
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Do investors in Green Bond market pay a premium? : global evidence
Nanayakkara, Madurika; Colombage, Sisira - In: Applied economics 51 (2019) 40, pp. 4425-4437
Persistent link: https://www.econbiz.de/10012197026
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Spillovers on sectoral sukuk returns : evidence from country level analysis
Syed Mabruk Billah; Balli, Faruk; Balli, Hatice Ozer - In: Applied economics 54 (2022) 38, pp. 4402-4432
Persistent link: https://www.econbiz.de/10013410976
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Choosing factors : the international evidence
Grobys, Klaus; Kolari, James W. - In: Applied economics 54 (2022) 6, pp. 633-647
Persistent link: https://www.econbiz.de/10012874235
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Dynamic strategies for fixed-income investment
Kung, James J. - In: Applied economics 40 (2008) 10/12, pp. 1341-1354
Persistent link: https://www.econbiz.de/10003742653
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Nonlinear adjustment in US bond yields : an empirical model with conditional heteroskedasticity
Lucchetti, Riccardo; Palomba, Giulio - In: Economic modelling 26 (2009) 3, pp. 659-667
Persistent link: https://www.econbiz.de/10003870690
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Are stocks really riskier than bonds?
Jung, Chulho; Shambora, William; Choi, Kyongwook - In: Applied economics 42 (2010) 4/6, pp. 403-412
Persistent link: https://www.econbiz.de/10003951908
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001