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Term premium in emerging market sovereign yields : role of common and country specific factors

Özbek, İbrahim; Talaslı, İrem - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 169-182

This paper provides cross-country analysis of local bond market term premia in emerging countries. In order to …

Persistent link: https://www.econbiz.de/10012429613

Machine learning treasury yields

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 7 (2020) 1, pp. 1-65

Persistent link: https://www.econbiz.de/10012807008

Yield curve construction : a note on the Moldovan bond market

Speian, Olesea; Ganea, Victoria; Kyriakopoulos, Constantinos - In: Bulletin of applied economics 9 (2022) 1, pp. 137-146

Persistent link: https://www.econbiz.de/10013407309

Extraction of proxy relative sovereign bond yield curve factors

Ishii, Hokuto - In: Applied economics letters 29 (2022) 20, pp. 1927-1930

Persistent link: https://www.econbiz.de/10013412335

A trend analysis of Eurobond yields in Africa

Mutize, Misheck - In: International journal of monetary economics and finance … 15 (2022) 1, pp. 19-34

Persistent link: https://www.econbiz.de/10013256799

Bond return predictability : evidence from 25 OECD countries

Devpura, Neluka; Narayan, Paresh Kumar; Sharma, Susan Sunila - In: Journal of international financial markets, … 75 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012820862

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

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 and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

Persistent link: https://www.econbiz.de/10012422545

Collateral affects return risk : evidence from the euro bond market

Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10012225036

Time-varying pricing of risk in sovereign bond futures returns

Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10013455827

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