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An empirical analysis of unspanned risk for the U.S. yield curve
Gómez, Karoll - In: Lecturas de economía 85 (2016), pp. 11-51
Persistent link: https://www.econbiz.de/10011591780
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International interest rate risk premia in affine term structure models
Geiger, Felix - 2009
Persistent link: https://www.econbiz.de/10013439834
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates … 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 …
Persistent link: https://www.econbiz.de/10012422545
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Modelling the yields on Australian coupon paying bonds
Hunt, Benjamin F. - 1995
Persistent link: https://www.econbiz.de/10000986255
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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Channels of US monetary policy spillovers to international bond markets
Albagli, Elias; Ceballos, Luis; Claro, Sebastián; … - In: Journal of financial economics 134 (2019) 2, pp. 447-473
Persistent link: https://www.econbiz.de/10012166851
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Monetary policy and bond risk premia in the US and the UK
Żurowski, Wojciech - 2016
the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …
Persistent link: https://www.econbiz.de/10011870652
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Is there excess comovement of bond yields between countries?
Sutton, Gregory D. - In: Journal of international money and finance 19 (2000) 3, pp. 363-376
Persistent link: https://www.econbiz.de/10001485270
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Is there excess comovement of bond yields between countries?
Sutton, Gregory D. - 1997
Persistent link: https://www.econbiz.de/10013431821
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Estimating term premia at the zero bound : an analysis of Japanese, US, and UK yields
Ichiue, Hibiki; Uenko, Yoichi - 2013
Persistent link: https://www.econbiz.de/10009745067