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Treasury bond volatility and uncertainty about monetary policy
Arnold, Ivo J. M.; Vrugt, Evert B. - In: The financial review : the official publication of the … 45 (2010) 3, pp. 707-728
Persistent link: https://www.econbiz.de/10009374244
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Volatility Indices and Implied Uncertainty Measures of European Government Bond Futures
Baran, Jaroslav - 2020
Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate …. In the first part, we create new volatility indices, which reflect market pricing of subsequently realised volatility of … underlying bond futures. We express volatility indices in both price and basis points, the latter being more intuitive to …
Persistent link: https://www.econbiz.de/10012833681
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Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets
Balcilar, Mehmet; Usman, Ojonugwa; Gungor, Hasan; … - In: Economic modelling 102 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012796953
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Oil price uncertainty and movements in the US government bond risk premia
Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012654789
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Economic Policy Uncertainty and the Yield Curve
Leippold, Markus; Matthys, Felix - 2022
Persistent link: https://www.econbiz.de/10013192097
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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State-varying illiquidity risk in sovereign bond spreads
Docherty, Paul; Easton, Steve - In: Pacific-Basin finance journal 50 (2018), pp. 235-248
Persistent link: https://www.econbiz.de/10012033797
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Time-varying pricing of risk in sovereign bond futures returns
Malinska, Barbora - 2020
12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …
Persistent link: https://www.econbiz.de/10012181035
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Time-varying pricing of risk in sovereign bond futures returns
Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013455827
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10012792718