We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two … days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time- to-maturity effect. Once we do this, we find that the coefficients on the forward …

domestic volatility after good shocks but a bad hedge after crashes …

changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …