Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as … the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present …/value - To the best of the authors' knowledge, this is the first time that the relationship between the exchange rate, bond yield …

Affine term structure models; Bond return distributions; Corporate bonds; Credit rating; Fixed income portfolios …Besides the introduction, the thesis is organized in two parts. Part I assumes a bond investor with μ-σ preferences … 4 assesses the statistical distribution of daily EMU bond returns for the period 1999 to 2012. …