depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest … rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond … important to Swiss government bond yields than Swiss stock prices …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we … combine principal component analysis with random matrix theory. We find that synchronization depends upon yields maturity … partially recover after 2015. We show the existence of a duality between our empirical results and portfolio theory and we point …

This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and …

This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro … portfolios varies over time and is related to bond characteristics. Taking this into account, we apply characteristics …-based adjustments in context with performance measurement and find momentum profits to remain robust. Most importantly, bond …

Since the beginning of 2022, monetary policy in the euro area has been gradually normalizing. As a result, bond yields …, such as Germany, a development referred to as bond market fragmentation. To ensure the coherent effectiveness of monetary …