changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has … adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000 …