high frequency. The model yields predictions on biweekly patterns of the federal funds rate’s volatility and on its …. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global … domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to …

interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they …: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then …

The easing of controls on interest rates has led to higher interest rate volatility in India. Hence, there is a need to …

output, and the evidence appears to go their way. To reconcile theory and reality, we extend the set of assets included in …

sovereign riskiness, implicit in traded bond prices. This allows the above results to be interpreted as explaining the cross …