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Prices and volatilities in the corporate bond market

Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

Persistent link: https://www.econbiz.de/10011772268

Extracting implied volatilities from bank bonds

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197

Persistent link: https://www.econbiz.de/10014321670

Empirical study on the factors affecting bond market returns-evidence from Indian markets

Sharma, S. C.; Chhabra, Bhavna; Saxena, Navneet - In: International journal of bonds and derivatives 4 (2020) 2, pp. 114-125

Persistent link: https://www.econbiz.de/10012505157

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Estimating yield spreads volatility using GARCH-type models

Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012822078

A comment on Bond risk, bond return volatility, and the term structure of interest rates

Heinen, Andréas - In: International journal of forecasting 28 (2012) 1, pp. 118-120

Persistent link: https://www.econbiz.de/10009582031

Bond risk, bond return volatility, and the term structure of interest rates

Viceira, Luis M. - In: International journal of forecasting 28 (2012) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10009582041

Determinants of bond yield spread changes in South Africa

Radier, Geoffrey; Majoni, Akios; Njanike, Kosmas; … - In: African review of economics & finance : AREF : (a … 8 (2016) 2, pp. 50-81

Persistent link: https://www.econbiz.de/10011721491

The effects of quantitative easing on the volatility of the gilt-edged market

Steeley, James M.; Matyushkin, Alexander - In: International review of financial analysis 37 (2015), pp. 113-128

Persistent link: https://www.econbiz.de/10011317236

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

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