curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of … green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a …

rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …