Narrow search
Showing 1 - 10 of 8,576
Cover Image
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
Cover Image
Forecasting European equity and bond returns for tactical asset allocation
Beckers, Stan; Blair, Bevan - In: Handbuch Asset Allocation : innovative Konzepte zur …, (pp. 267-286). 2003
Persistent link: https://www.econbiz.de/10001774847
Cover Image
Yield Curve Forecast Combinations Based on Bond Portfolio Performance
Caldeira, João - 2017
returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond …
Persistent link: https://www.econbiz.de/10012960063
Cover Image
Survey Forecasts and the Time-Varying Second Moments of Stock and Bond Returns
Balduzzi, Pierluigi - 2016
What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We …-1997 change in the stock-bond covariance. Also, the second moments of risk premium news explain most of the variance of the …
Persistent link: https://www.econbiz.de/10013008226
Cover Image
Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
Cover Image
Bond intraday momentum
Zhang, Wei; Wang, Pengfei; Li, Yi - In: Journal of behavioral and experimental finance 31 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012815421
Cover Image
Bond portfolio optimization using dynamic factor models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
Cover Image
Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
Cover Image
Abnormal Downside Tail Risk as a Predictor of Risky Bond Returns
Ahn, Jisu; Hwang, Injun; Kim, Baeho - 2022
This study finds that downside tail risk , estimated from Korean corporate bond market data, predicts the excess … predicting corporate bond returns. The return predictability of abnormal risk becomes more pronounced in the economic expansion …
Persistent link: https://www.econbiz.de/10013295157
Cover Image
Predicting German Stock and Bond Returns with Macro-Variables : Evidence of Market Timing
Hyde, Stuart - 2010
We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using … and changes in short term interest rates are key predicators for stock returns. Additionally, for bond returns, exchanges …
Persistent link: https://www.econbiz.de/10013149198