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International yield co-movements
Bekaert, Geert; Ermolov, Andrey - 2021
Persistent link: https://www.econbiz.de/10012590876
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Implied volatility term structure and exchange rate predictability
Ornelas, José Renato Haas; Mauad, Roberto Baltieri - In: International journal of forecasting 35 (2019) 4, pp. 1800-1813
Persistent link: https://www.econbiz.de/10012305531
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Inflation, Inflation Uncertainty and Asset Returns : Cross Country Evidences
Kamal, Javed Bin - 2019
The question whether an asset class is a good hedge against inflation is extensively investigated in the finance and … or no evidence on either from alternative asset classes or emerging and developing countries context. Inflation and … inflation volatility have a feedback relationship, which affect investor's real return. Despite of that literature is also scare …
Persistent link: https://www.econbiz.de/10012896631
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10011346306
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Default prediction around the world : the effect of constraints on pessimistic trading
Maffett, Mark; Owens, Edward; Srinivasan, Anand - 2013
We examine how equity-market frictions that restrict pessimistic trading, such as short-sale constraints, affect assessments of default risk. We find that these frictions decrease the usefulness of equity-market variables for identifying defaulting firms but increase their usefulness for...
Persistent link: https://www.econbiz.de/10010250688
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2016 - Revised: January 20, 2016
Persistent link: https://www.econbiz.de/10011529375
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Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate
MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19
Persistent link: https://www.econbiz.de/10011475902
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Robust Bond Risk Premia
Bauer, Michael - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012954916
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Robust Bond Risk Premia
Bauer, Michael - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012970955
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Robust Bond Risk Premia
Bauer, Michael - 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10013012562