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Bond risk premia in a small open economy with volatile capital flows : the case of Korea
Yun, Jaeho - In: Journal of international money and finance 93 (2019), pp. 223-243
Persistent link: https://www.econbiz.de/10012138637
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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
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Macroeconomic shocks and the forward yield curve : how important is monetary policy?
Chirinos, Ana María; Pagliacci, Carolina - In: Macroeconomics and finance in emerging market economies 8 (2015) 1/3, pp. 201-223
Persistent link: https://www.econbiz.de/10011402377
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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
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Interest rate volatility prior to monetary union under alternative pre-switch regimes
Wilfling, Bernd - 2001
Persistent link: https://www.econbiz.de/10001647468
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Interest rate volatility prior to monetary union under alternative pre-switch regimes
Wilfling, Bernd - In: German economic review 4 (2003) 4, pp. 433-457
Persistent link: https://www.econbiz.de/10001858754
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Interest rate volatility prior to monetary union under alternative pre-switch regimes
Wilfling, Bernd - 2001
Persistent link: https://www.econbiz.de/10013430433
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Time-varying volatility and the dynamic behavior of the term structure
Engle, Robert F.; Ng, Victor K. - 1991
Persistent link: https://www.econbiz.de/10000812958
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Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 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/10003770770
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Explaining the term structure of interest rates : the GKO market from 1996 to 1998
Krjukovskaja, Olga V. (contributor) - 2003
Persistent link: https://www.econbiz.de/10003282536