Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is …

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …

Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible … variables. Moreover, the most challenging problem in convertible bond valuation is the underlying stock return process modeling … real-world convertible bond specifications compared with previous model-driven models. The experiments on the Chinese …