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Time variation in cash flows and discount rates

Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589

Persistent link: https://www.econbiz.de/10014444702

Time-varying pricing of risk in sovereign bond futures returns

Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10013455827

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

High-frequency cash flow dynamics

Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - 2018

Persistent link: https://www.econbiz.de/10011813356

Sovereign bond return prediction with realized higher moments

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Journal of international financial markets, … 62 (2019), pp. 53-73

Persistent link: https://www.econbiz.de/10012262440

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants …