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International yield co-movements

Bekaert, Geert; Ermolov, Andrey - 2021

Persistent link: https://www.econbiz.de/10012590876

Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve

Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015

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Dependence structure between nominal and index-linked bond returns : a bivariate copula and DCC-GARCH approach

Benlagha, Noureddine - In: Applied economics 46 (2014) 31/33, pp. 3849-3860

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Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

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Liquidity Premium and Return Predictability in U.S. Inflation-Linked Bonds Market

Gomez, Karoll - 2014

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS (nominal Treasury) excess returns. The explanatory power...

Persistent link: https://www.econbiz.de/10013051252