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Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286

Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10003770770

Modellierung von Zinsstrukturkurven

Hewicker, Harald; Cremers, Heinz - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Persistent link: https://www.econbiz.de/10009231941

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, Andrea; Zenios, Stauros Andrea - 2018

Persistent link: https://www.econbiz.de/10011884964

Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve

Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015

Persistent link: https://www.econbiz.de/10011437580

Macroeconomic fluctuations and the forward yield curve

Chirinos, Ana María; Pagliacci, Carolina - 2014

Persistent link: https://www.econbiz.de/10010472044

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834

The Determinants of Bond Insurance Premium

Moldogaziev, Tima T. - 2012

This paper provides an empirical test of the demand side of Thakor's (1982) theory of bond insurance signaling, namely … information in the market. We test the theory for a sample of bonds that covers before, during and immediately after the 2007 …-08 financial crisis. We find empirical evidence consistent with the theory that the bond insurance premium provides a signal to the …

Persistent link: https://www.econbiz.de/10013115055

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Yordanov, Vilimir - 2018

The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting...

Persistent link: https://www.econbiz.de/10012937615

Term Premium in a Fractionally Cointegrated Yield Curve

Abbritti, Mirko - 2020

The co-movement of US sovereign rates suggests a long-run equilibrium relationship.Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model...

Persistent link: https://www.econbiz.de/10012853284