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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: Inventi impact: microfinance & banking (2021) 2, pp. 70-82
Persistent link: https://www.econbiz.de/10012816012
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...
Persistent link: https://www.econbiz.de/10012422545
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Implicit inflation and risk premiums in the Brazilian fixed income market
Mariani, Lucas Argentieri; Laurini, Márcio Poletti - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1836-1853
Persistent link: https://www.econbiz.de/10011824783
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Research on corporate bond risk premium and default based on voluntary dual ratings selection
Yu, Qianlong; Xiao, Xiaoyi; Lin, Yimin - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1690-1706
Persistent link: https://www.econbiz.de/10014289783
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Junk bond holdings, premium tax offsets, and risk exposure at life insurance companies
Brewer, Elijah; Mondschean, Thomas H. - 1993
Persistent link: https://www.econbiz.de/10000892095
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How to estimate the yield curve and the forward rate curve by means of bond prices?
Delbaen, F.; Lorimier, S. - 1992
Persistent link: https://www.econbiz.de/10000136405
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Credit Spreads und ihre Determinanten : eine empirische Analyse für Deutschland
Rottmann, Horst; Seitz, Franz - In: Kredit und Kapital 41 (2008) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10003715877
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Bond positions, expectations, and the yield curve
Piazzesi, Monika (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003732148
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A two-factor model for stochastic mortality with parameter uncertainty : theory and calibration
Cairns, Andrew (contributor); Blake, David (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003329670
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Modelling conditional volatility of risk premia on fixed income instruments
Drakos, Kōnstantinos - In: International economics & finance journal : (IEFJ) 1 (2006) 1, pp. 13-28
Persistent link: https://www.econbiz.de/10003791124