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Explaining the On-the-Run Puzzle
Anderson, Anthony J. - 2014
The on-the-run phenomenon is regularly found in the bond markets. The on-the-run phenomenon is the yield difference observed when a new bond issue comes to market from the same issuer and gets a better price (lower yield given equivalent duration) from the market than the older issue. This paper...
Persistent link: https://www.econbiz.de/10013059786
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Capital market openness and volatility : an investigation of five Sub-Saharan treasury bill rates
Charteris, Ailie Heather; Strydom, Barry - In: International journal of emerging markets 11 (2016) 3, pp. 438-459
Persistent link: https://www.econbiz.de/10011588184
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The term structure of government debt uncertainty
Mele, Antonio; Obayashi, Yoshiki; Yang, Shihao - 2019
Persistent link: https://www.econbiz.de/10012181125
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Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - In: Journal of banking & finance 36 (2012) 11, pp. 2988-3007
Persistent link: https://www.econbiz.de/10009673006
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What moves treasury yields?
Mönch, Emanuel; Soofi-Siavash, Soroosh - 2021
Persistent link: https://www.econbiz.de/10012498409
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Long-term yield volatility and the term structure : evidence for Italian treasury bonds
Addolorato, Flavio - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 353-377). 1997
Persistent link: https://www.econbiz.de/10001298419
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Estimation for factor models term structure of interest rates with jumps : the case of the Taiwanese government bond market
Lin, Bing-huei; Yeh, Shih-kuo - In: Journal of international financial markets, … 11 (2001) 2, pp. 167-197
Persistent link: https://www.econbiz.de/10001575250
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Estimating the term structure of interest rate volatility in extreme values
Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14
Persistent link: https://www.econbiz.de/10001580717
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Jump-diffusion term structure and Itô conditional moment generator
Zhou, Hao - 2001
Persistent link: https://www.econbiz.de/10001607156
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The surprise element: jumps in interest rates
Das, Sanjiv R. - In: Journal of econometrics 106 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001633688