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Exploiting the conditional density in estimating the term structure : an application to the Cox, Ingersoll, and Ross model

Pearson, Neil D. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1279-1304

Persistent link: https://www.econbiz.de/10001171966

Forecasting growth and stock performance using government and corporate yield curves : evidence from the European and Asian markets

Saar, Dan; Yagil, Yossi - In: Journal of international financial markets, … 37 (2015), pp. 27-41

Persistent link: https://www.econbiz.de/10011474971

Quantitative easing and exuberance in government bond markets : evidence from ECB's expanded asset purchase program

Lamoen, Ryan C. R. van; Mattheussens, Simona; Dröes, … - 2017

Persistent link: https://www.econbiz.de/10011622309

Essays on bond return predictability and liquidity risk

Gómez, Karoll - 2015

If there is valuable information for predicting bond prices over time, how can we use this information to improve investor's risk-return trade-off and term structure modelling? This thesis aims at answering this question. The first chapter discusses the predictive role of alternative measures of...

Persistent link: https://www.econbiz.de/10011298908