Showing 1 - 10 of 8,664
Persistent link: https://www.econbiz.de/10013472927
This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …
Persistent link: https://www.econbiz.de/10014218891
), two-stage least squares (2SLS), and generalized method of moment (GMM) estimators. Using both stock and bond data, our …
Persistent link: https://www.econbiz.de/10014123699
Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …
Persistent link: https://www.econbiz.de/10012996646
Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond …
Persistent link: https://www.econbiz.de/10012966738
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market …
Persistent link: https://www.econbiz.de/10012971196
Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …
Persistent link: https://www.econbiz.de/10012972962
market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …
Persistent link: https://www.econbiz.de/10013026772
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10013132852
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …
Persistent link: https://www.econbiz.de/10013066296