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Stochastic volatility in a macro-finance model of the US term structure of interest rates 1961 - 2004

Spencer, Peter D. - In: Journal of money, credit and banking : JMCB 40 (2008) 6, pp. 1177-1215

Persistent link: https://www.econbiz.de/10003745947

Assessing the relation between equity risk premium and macroeconomic volatilities in the UK

Kizys, Renatas (contributor); Spencer, Peter D. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003481724

Stochastic volatility in a macro-finance model of the US term structure of interest rates 1961 - 2004

Spencer, Peter D. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003583510

Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities

Kizys, Renatas - 2006

In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium, macroeconomic risk, and inflationary expectations. To rationalise this link between equity risk premia and macroeconomic volatilities, we built our empirical study on the...

Persistent link: https://www.econbiz.de/10012734024

Estimating the term structure with linear regressions : getting to the roots of the problem

Golinski, Adam; Spencer, Peter D. - In: Journal of financial econometrics 19 (2021) 5, pp. 960-984

Persistent link: https://www.econbiz.de/10012799057

The advantages of using excess returns to model the term structure

Goliński, Adam; Spencer, Peter D. - In: Journal of financial economics 125 (2017) 1, pp. 163-181

Persistent link: https://www.econbiz.de/10011751628

Oil prices in the real economy

Shu, Haicheng; Spencer, Peter D. - In: Journal of applied econometrics 38 (2023) 6, pp. 878-897

Persistent link: https://www.econbiz.de/10014432198

The information in joint term structures of bond yields

Meldrum, Andrew; Raczko, Marek; Spencer, Peter D. - In: Journal of international money and finance 134 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014304808

Unconventional monetary policies and the yield curve : estimating non-affine term structure models with unspanned macro risk by factor extraction

Golinski, Adam; Spencer, Peter D. - In: Review of asset pricing studies : RAPS 14 (2024) 1, pp. 119-152

Persistent link: https://www.econbiz.de/10014527072

Measuring the fiscal stance

Polito, Vito (contributor); Wickens, Michael R. (contributor) - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003481721