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Essays on financial integration and risk sharing among EMU members
Balli, Faruk - 2007
Persistent link: https://www.econbiz.de/10009696669
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Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio
Obadović, Milica; Petrović, Evica; Vunjak, Nenad; … - In: Economic research 29 (2016) 1, pp. 475-484
Persistent link: https://www.econbiz.de/10012221663
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The effect of government bonds on asset prices : an asset markets equilibrium approach
Houston, Joel F.; Protopapadakis, Aris A. - 1989
Persistent link: https://www.econbiz.de/10000780846
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The effect of government bonds on asset prices : an asset markets equilibrium approach
Houston, Joel; Protopapadakis, Aris - 1989
Persistent link: https://www.econbiz.de/10000143614
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Inelastic demand meets optimal supply of risky sovereign bonds
Moretti, Matías; Pandolfi, Lorenzo; Schmukler, Sergio L.; … - 2024
Persistent link: https://www.econbiz.de/10014631678
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Prepayment risk on callable bonds : theory and test
François, Pascal; Pardo, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 2, pp. 147-176
Persistent link: https://www.econbiz.de/10011342200
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Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362
Persistent link: https://www.econbiz.de/10001113532
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A dominance-based rough set approach applied to evaluate the credit risk of sovereign bonds
Silva, Julio Cezar Soares; Silva, Diogo Ferreira de Lima; … - In: 4OR : quarterly journal of the Belgian, French and … 20 (2022) 1, pp. 139-164
Persistent link: https://www.econbiz.de/10013168532
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Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk
Maruddani, Di Asih I; Abdurakhman Abdurakhman - In: DLSU business & economics review 31 (2021) 1, pp. 72-80
Persistent link: https://www.econbiz.de/10013472258
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On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The …
Persistent link: https://www.econbiz.de/10012241109