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Expectations and risk premia at 8:30 a.m. : deciphering the responses of bond yields to macroeconomic announcements
Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10012179494
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A new linear estimator for Gaussian dynamic term structure models
Díez de los Ríos, Antonio - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 282-295
Persistent link: https://www.econbiz.de/10011390043
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Enhancing estimation for interest rate diffusion models with bond prices
Zou, Tao; Chen, Song Xi - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 486-498
Persistent link: https://www.econbiz.de/10011705972
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 472-485
Persistent link: https://www.econbiz.de/10011691663
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Regime shifts, risk premiums in the term structure, and the business cycle
Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 396-409
Persistent link: https://www.econbiz.de/10002372889
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The variance risk premium : components, term structures, and stock return predictability
Li, Junye; Zinna, Gabriele - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 411-425
Persistent link: https://www.econbiz.de/10012249166
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Restrictions on risk prices in dynamic term structure models
Bauer, Michael D. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 196-211
Persistent link: https://www.econbiz.de/10011894602
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Measuring tail thickness to estimate the stable index a : a critique
McCulloch, J. Huston - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 74-81
Persistent link: https://www.econbiz.de/10001214302
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Theoretical relations between risk premiums and conditional variances
Backus, David - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 177-185
Persistent link: https://www.econbiz.de/10001142128
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Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10011704099