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An Investigation of the nonlinear and asymmetric spillover effects of U.S. economic policy uncertainty on bond return vlatility of emerging markets

Xue, Wenjun; Wang, Feifei - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 11, pp. 3487-3515

Persistent link: https://www.econbiz.de/10014384427

Global dynamics of bond co-movements : insights from the response to the US bond yields using wavelet methods

Choi, Youngran; Gladson, Eben Josecliff; Adhikari, Hari - In: Finance research letters 69 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10015079735

Yield differences between coupon and principal STRIPS

Vonhoff, Volker - In: Managerial finance 40 (2014) 4, pp. 326-354

Persistent link: https://www.econbiz.de/10010344103

Liquidity measures throughout the lifetime of the U.S. Treasury bond

Díaz Pérez, Antonio; Escribano, Ana - In: Journal of financial markets 33 (2017), pp. 42-74

Persistent link: https://www.econbiz.de/10011815011

Relative Value in Bonds : An Application to the US Treasury Market

Nteventzis, Dimitrios - 2015

The purpose of this paper is to empirically analyze the risk and return characteristics of relative value strategies in bonds. Three different yield curve models and three different strategies have been tested. We show that combining the information content from different yield curve models...

Persistent link: https://www.econbiz.de/10013009961

Regime Shifts in a Long-run Risks Model of U.S. Stock and Treasury Bond Markets

Li, Kai; Xu, Chenjie - 2022

We study the joint determinants of stock and bond returns in a long-run risks model framework with regime shifts in … growth and inflation are regime-dependent. This general equilibrium framework can not only generate sign-switching stock-bond … correlations and bond risk premium, but also quantitatively reproduce various other salient empirical features in stock and bond …

Persistent link: https://www.econbiz.de/10013405156