We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling … estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique … the conditional distribution of excess bond returns is affected by a state variable that does not lie in the span of the …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …