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What can EMU countries’ sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
Dötz, Niko; Fischer, Christoph - 2010
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH …, the rescue of Bear Stearns in March 2008 seems to mark a change in market perceptions of sovereign bond risk. The … sovereign spreads, it increasingly moved into investors’ focus as financial sector soundness weakened. -- Sovereign bond spread …
Persistent link: https://www.econbiz.de/10003974397
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The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
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Bond risk's role in the equity risk-return tradeoff
Bansal, Naresh K.; Stivers, Christopher T. - In: Journal of financial markets 60 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013397895
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Estimating yield spreads volatility using GARCH-type models
Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012822078
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Bond indices maturities and changing macroeconomic conditions : evidence from South Africa
Moodley, Fabian - In: Journal of Economics and Financial Analysis 8 (2024) 1, pp. 57-73
Persistent link: https://www.econbiz.de/10014486924
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Can interest rate volatility be extracted from the cross section of bond yields?
Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, … - In: Journal of financial economics 94 (2009) 1, pp. 47-66
Persistent link: https://www.econbiz.de/10003891547
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The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela; Schotman, Peter C. - 2012
Persistent link: https://www.econbiz.de/10009576958
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Can interest rate volatility be extracted from the cross section of bond yields? : An investigation of unspanned stochastic volatility
Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, … - 2004
Persistent link: https://www.econbiz.de/10002361808
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Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2006
-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …
Persistent link: https://www.econbiz.de/10012783833
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Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2004
-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …
Persistent link: https://www.econbiz.de/10012467934