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Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10010263741

Approaches to current stock market valuations

Hannah, Bob - In: Bank of Canada review (2000) summer, pp. 27-36, 31-41

Persistent link: https://www.econbiz.de/10001499085

Chauvet, Marcelle; Potter, Simon M. - 1999

Persistent link: https://www.econbiz.de/10001398325

The German equity market: risk, return, and liquidity

Göppl, Hermann (contributor) - In: Empirical research on the German capital market : with …, (pp. 171-185). 1999

Persistent link: https://www.econbiz.de/10001427658

Asymmetric volatility and risk in equity markets

Bekaert, Geert; Wu, Guojun - In: The review of financial studies 13 (2000) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10001475039

Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire

Drudi, Francesco; Violi, Roberto - In: Economie & prévision : EP (1999) 4/5, pp. 21-34

Persistent link: https://www.econbiz.de/10001490857

Three essays in international finance and financial economics

Hu, Xiaoqiang - 1994

Persistent link: https://www.econbiz.de/10000916084

Decomposing the term structure into risk premia and expectations : evidence from the eurolira rates

Drudi, Francesco - In: Monetary policy and interest rates : proceedings of a …, (pp. 36-66). 1998

Persistent link: https://www.econbiz.de/10001303483

Hedging volatility shocks to the Canadian investment opportunity set

Racine, Marie D. - In: Quarterly journal of business and economics : QJBE 37 (1998) 4, pp. 59-79

Persistent link: https://www.econbiz.de/10001367356

Stock returns and volatility in India : an empirical puzzle?

Pattanaik, Sitikantha; Chatterjee, Bhaskar - In: Occasional papers / Reserve Bank of India 21 (2000) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10001619739

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