innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … 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 … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …