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Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

Persistent link: https://www.econbiz.de/10014433708

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

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

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

Viceira, Luis M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003501713

Common and idiosyncratic fluctuations of interest rates from various issuers : a dynamic factor approach

Kim, Hwagyun - 2003

Persistent link: https://www.econbiz.de/10003628411

Oil price uncertainty and movements in the US government bond risk premia

Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012654789

The volatility of long-term bond returns : persistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - In: The review of economics and statistics 99 (2017) 5, pp. 884-895

Persistent link: https://www.econbiz.de/10011781305

Examining US monetary spillover to Indonesian local currency government bonds in volatile periods

Nugraha, Muhammad Fajar - 2023

This study analyzes the magnitude of the US monetary policy spillover on the Indonesian local currency government bond …

Persistent link: https://www.econbiz.de/10014289870

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

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

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