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Understanding the sources of risk underlying the cross section of commodity returns
Bakshi, Gurdip S.; Gao, Xiaohui; Rossi, Alberto - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 619-641
Persistent link: https://www.econbiz.de/10012000721
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Expectations and term premia in EFSF bond yields
Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022
Persistent link: https://www.econbiz.de/10013384831
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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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Dissecting the yield curve : the international evidence
Berardi, Andrea; Plazzi, Alberto - In: Journal of banking & finance 134 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013400006
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Economic policy uncertainty and the yield curve
Leippold, Markus; Matthys, Felix - In: Review of finance : journal of the European Finance … 26 (2022) 4, pp. 751-797
Persistent link: https://www.econbiz.de/10013349374
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Economic determinants of oil futures volatility : term structure perspective
Kang, Boda; Nikitopoulos, Christina Sklibosios; … - In: Energy economics 88 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012515144
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The cross-section of currency volatility premia
Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony - In: Journal of financial economics 139 (2021) 3, pp. 950-970
Persistent link: https://www.econbiz.de/10012693854
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...
Persistent link: https://www.econbiz.de/10014433708
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Information Uncertainty, Volatility Term Structure and Index Option Returns
Zhu, Cai - 2015
investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …
Persistent link: https://www.econbiz.de/10013024745
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The relative pricing of WTI and Brent crude oil futures : expectations or risk premia?
Gao, Xin; Li, Bingxin; Liu, Rui - In: Journal of commodity markets 30 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014426797