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State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

Macroeconomic surprises and short-term behaviour in bond futures

Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866

Persistent link: https://www.econbiz.de/10003233767

Econometric modelling of financial durations

Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001724068

Semiparametric estimation for financial durations

Rodríguez Poo, Juan Manuel; Veredas, David; Pohlmeier, … - In: High frequency financial econometrics : recent …, (pp. 225-251). 2008

Persistent link: https://www.econbiz.de/10003579359

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International journal of forecasting 20 (2004) 4, pp. 589-609

Persistent link: https://www.econbiz.de/10002434252

Macro surprises and short-term behaviour in bond futures

Durenard, Eugene; Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001696218

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - 2000

Persistent link: https://www.econbiz.de/10001555045

A Monthly Volatility Index for the US Real Economy

Frale, Cecilia - 2009

We estimate the monthly volatility of the US economy from 1959 to 2008 by extending the factor model of Stock and Watson (1991). The volatility of the factor, which we call VOLINX, has three applications.First, it measures the changes in uncertainty in the economy. VOLINX captures the decrease...

Persistent link: https://www.econbiz.de/10012720729

Systemic risk in the US : interconnectedness as a circuit breaker

Dungey, Mardi H.; Luciani, Matteo; Veredas, David - In: Economic modelling 71 (2018), pp. 305-315

Persistent link: https://www.econbiz.de/10012062528

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - 2009

Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other...

Persistent link: https://www.econbiz.de/10003933337