term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part …. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as …

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 … macroeconomic factors allows us to analyze their effect on the risk aversion of market participants. Looking at the impact of the … recent crises, we see that particularly the market prices of risk for the real activity and the price factor changed most …

markets. We develop a model from term structure, credit risk and vector autoregressive models, based on the articles by Ang … simplifying their model, propose a new estimation method, add credit risk, and show results for Brazilian domestic and external …

to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …