, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and …

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … structure and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the … model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and …

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …