This paper examine differences between risk-neutral and objective probability densities of future interest rates. The … identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs … apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the …

-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be … model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …

differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

We examine the link between equity risk premiums and demographic changes using a very long sample over the whole … persons significantly decreases risk premiums. This demographic predictability of risk premiums is stronger for countries with …