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Sovereign bond spreads and credit sensitivity
Schefer, Ricardo - 2020
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …
Persistent link: https://www.econbiz.de/10012307696
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Corporate yields and sovereign yields
Bevilaqua, Julia; Hale, Galina; Tallman, Eric - 2019
Persistent link: https://www.econbiz.de/10012123481
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Responses of Swiss bond yields and stock prices to ECB policy surprises
Hager, Diego M.; Nitschka, Thomas - 2022
Persistent link: https://www.econbiz.de/10013365932
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Corporate yields and sovereign yields
Hale, Galina; Bevilaqua, Julia; Tallman, Eric - 2020
Persistent link: https://www.econbiz.de/10012202064
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …
Persistent link: https://www.econbiz.de/10012547050
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021
curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …
Persistent link: https://www.econbiz.de/10012584702
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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
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Agent-based model generating stylized facts of fixed income markets
Kopp, Antoine; Westphal, Rebecca; Sornette, Didier - 2022
their investments between a preferred stock equivalent to a perpetual bond and multiple bonds of selected maturities. Among … those, a zero-coupon bond provides a constant rate of return, while the prices of the coupon-paying bonds are determined at …
Persistent link: https://www.econbiz.de/10013192099
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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
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Term structure persistence
Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352
Persistent link: https://www.econbiz.de/10011589005