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Benchmark yield undershooting in the E.M.U.
Antzulatos, Angelos A. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001712632
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Benchmark yield undershooting in the E.M.U.
Antzulatos, Angelos A. - 2002
Persistent link: https://www.econbiz.de/10013430488
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What explains the volatility in Pakistan's sovereign bond yields?
Waheed, Mohsin; Hyder, Zulfiqar - 2023
Persistent link: https://www.econbiz.de/10014286813
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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India
Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … yield volatility. For a positive γ, the results suggest the possibility of a "leverage effect" that is markedly different …
Persistent link: https://www.econbiz.de/10014500716
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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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Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
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Can interest rate volatility be extracted from the cross section of bond yields?
Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, … - In: Journal of financial economics 94 (2009) 1, pp. 47-66
Persistent link: https://www.econbiz.de/10003891547
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Bond risk, bond return volatility, and the term structure of interest rates
Viceira, Luis M. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003501713
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The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela; Schotman, Peter C. - 2012
Persistent link: https://www.econbiz.de/10009576958