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captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10013316384
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10003832616
pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …
Persistent link: https://www.econbiz.de/10010467093
nominal government bond yields and the stock price dynamics of six major economies from 1988 until 2019. We calibrate the …-year government bond yields allows one to generate articifical time series of bond yields and price-consumption ratios that follow the …
Persistent link: https://www.econbiz.de/10013327990
captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10011605091
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market …
Persistent link: https://www.econbiz.de/10012971196
Persistent link: https://www.econbiz.de/10011799154
Persistent link: https://www.econbiz.de/10012122585
Persistent link: https://www.econbiz.de/10014249731