The paper investigates the effect of interest-rate variance on the shape of the <p> yield curve using a bivariate 2-state Markov switching model for the short-rate changes <p> and the yield curve slope. The two states are characterized by the variance of the shortrate <p> changes: Low and high variance....</p></p></p>

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This paper analyzes the impact of macroeconomic announcements on the correlation between credit spreads and the term structure of interest rates. We propose to employ an extented version of the Constant Conditional Correlations framework of Bollerslev (1990) to describe the evolution of the...

The paper introduces and estimates a multivariate level-GARCH model for the long rate and the term structure spread where the conditional volatility is proportional <p> to the y’th power of the variable itself (level effects) and the conditional covariance <p> matrix evolves according to a...</p></p>

Like the stock market, the human capital market consists of a wide range of assets, i.e. educations. Each <p> young individual chooses the educational asset that matches his preferred combination of risk and return in terms of <p> future income. A unique register-based data set with exact information...</p></p>

This paper examines the relationship between interest-rate volatility and the shape of the yield curve. The yield curve is parsimoniously described by its level, slope, and curvature. The level, the slope and the curvature are analyzed within a trivariate heteroskedastic model, where the...

We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility-spillover e ffects from both the US and Europe into the individual bond markets.For...