Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … variation in risk and return ; Credit spread ; Volatility dynamics … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …