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Modelling longevity bonds : analysing the Swiss Re Kortis bond
Hunt, Andrew; Blake, David - 2015
Persistent link: https://www.econbiz.de/10011318350
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Identifiability, cointegration and the gravity model
Hunt, Andrew; Blake, David - In: Insurance / Mathematics & economics 78 (2018), pp. 360-368
Persistent link: https://www.econbiz.de/10011825323
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Identifiability, cointegration and the gravity model
Hunt, Andrew; Blake, David - 2015
Persistent link: https://www.econbiz.de/10011318347
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Term Premium in a Fractionally Cointegrated Yield Curve
Abbritti, Mirko - 2020
. Our results point to the existence of such mean-reverting fractional cointegration among sovereign rates. In terms of out …
Persistent link: https://www.econbiz.de/10012853284
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The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach
Avdoulas, Christos; Bekiros, Stelios; Lucey, Brian M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10012299596
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An Error-Correction Model of the Long-Term Bond Rate
Mehra, Yash P. - 2012
An equation explaining the long-run behavior of the bond rate from 1971 to 1993 indicates that inflation is the main … long-run economic determinant of the bond rate. Monetary policy actions have short-run but no long-run effects on the rate …
Persistent link: https://www.econbiz.de/10013102469
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Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 268-280
Persistent link: https://www.econbiz.de/10009722093
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Does the expectations hypothesis explain the term structure of treasury bond yields in Tunisia?
Boukhatem, Jamel - In: The journal of applied business research 32 (2016) 1, pp. 239-254
Persistent link: https://www.econbiz.de/10011436544
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Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield
Tule, Kpughur Moses; Odonye, Osana Jackson; Afangideh, … - In: Financial innovation : FIN 5 (2019) 32, pp. 1-16
This study examines the spillover effects of U.S. monetary policy normalization on Nigeria 10-Year Treasury bond yield … exchange rate and inflation, rather than the U.S. 10-Year sovereign bond yield, are the key drivers of Nigeria 10-Year bond …
Persistent link: https://www.econbiz.de/10012267086
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The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497
Persistent link: https://www.econbiz.de/10013334844