dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond …

This paper provides an examination of term structure models in the Australian bond market. Specifically, we examine the … underprice a bond at the short and medium ends of the term structure and generally overprice bonds at the long end. Further, the … implications for bond pricing in relatively illiquid markets like Australia's. …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … estimator provides less biased and robust estimates of the continuous quadratic variation and jumps. This technique also … accuracy of volatility forecasts for the S&P500 index, single stocks and US bond yields, especially in periods following the …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have positive and mostly … estimator provides less biased and robust estimates of the continuous quadratic variation and jumps. This technique also … accuracy of volatility forecasts for the S&P500 index, single stocks and US bond yields, especially in periods following the …

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff …

bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns …