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Time-varying volatility and the dynamic behavior of the term structure

Engle, Robert F.; Ng, Victor K. - 1991

Persistent link: https://www.econbiz.de/10000812958

Enhancing risk-adjusted return using time series momentum in sovereign bonds

Hambusch, Gerhard; Hong, KiHoon Jimmy; Webster, Ellenora - In: The journal of fixed income 25 (2015) 1, pp. 96-111

Persistent link: https://www.econbiz.de/10011399838

Modeling transmissions of volatility shocks : application to CDS spreads during the euro area sovereign crisis

Bellalah, Makram; Bellalah, Mondher; Boussada, Haifa - In: International journal of business 21 (2016) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011457828

Sovereign bond return prediction with realized higher moments

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Journal of international financial markets, … 62 (2019), pp. 53-73

Persistent link: https://www.econbiz.de/10012262440

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

Persistent link: https://www.econbiz.de/10011637545

Forecasting sovereign bond realized volatility using time-varying coefficients model

Malinska, Barbora - 2021

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … to generate systemic under-predictions of future realized volatility. …

Persistent link: https://www.econbiz.de/10012542381

Time-Varying Volatility and the Dynamic Behavior of the Term Structure

Engle, Robert F. - 1991

volatility of the Treasury bill market. We demonstrate that differently shaped yield curves can result given different … combinations of volatility and expectations about future spot rates. Moreover, adjusting the forward rate for the volatility …

Persistent link: https://www.econbiz.de/10012475329

From bond yield to macroeconomic instability : a parsimonious affine model

Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135

Persistent link: https://www.econbiz.de/10011802489

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

Modelling Australian bank bill rates : a Kalman filter approach

Bhar, Ramaprasad - 1993

Persistent link: https://www.econbiz.de/10000878038

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