dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility …

of the real short rate and influences the expectations hypothesis component embedded in bond yields. As a result …, including growth data in canonical yield-curve models delivers significant gains in the predictability of bond excess returns in …

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government … bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market … in real time. The paper shows that long-term JGB nominal yields can be modeled using the short-term interest rate on …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

time-varying vector autoregressive model to describe the dynamics of asset returns. We estimate this model by means of the …. (1978), which enforces the stability of the estimated VAR. Our modelling framework allows to disentangle the time …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the …

realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …

We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … 12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the …