Narrow search
Showing 1 - 10 of 12,834
Cover Image
Multivariate Analysis of Financial and Market-Based Variables for Bond Rating Prediction
Novotná, Martina - 2016
agencies. The paper presents an estimation of corporate bond rating models based on both financial and market-based indicators … bond rating in oil and gas industry. In addition to common financial variables, the following market-based indicators such … variables used in this study, the enterprise value is the most significant variable for bond rating prediction. The practical …
Persistent link: https://www.econbiz.de/10013000339
Cover Image
Profit from mean-reverting yield curve trading strategies
Chua, Choong Tze; Koh, Winston T. H.; Ramaswamy, Krishna - In: The journal of fixed income 15 (2006) 4, pp. 20-33
Persistent link: https://www.econbiz.de/10003339377
Cover Image
Trend and cycle in bond premia
Piazzesi, Monika; Schneider, Martin - 2009
Persistent link: https://www.econbiz.de/10009523988
Cover Image
Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
Cover Image
Joint cross-section time-series maximum likelihood estimation for the parameters of the Cox-Ingersoll-Ross bond pricing model
Daves, Phillip R. - In: The financial review : the official publication of the … 28 (1993) 2, pp. 203-237
Persistent link: https://www.econbiz.de/10001146307
Cover Image
Maturity induced bias in estimating spot rate diffusion models
Honoré, Peter - 1997
Persistent link: https://www.econbiz.de/10000975531
Cover Image
Monetary policy regimes : implications for the yield curve and bond pricing
Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial economics 113 (2014) 3, pp. 427-454
Persistent link: https://www.econbiz.de/10010495817
Cover Image
Trend and Cycle in Bond Premia
Piazzesi, Monika - 2009
Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …
Persistent link: https://www.econbiz.de/10013158770
Cover Image
Modelling the dynamics of long-term bonds with Kalman filter
Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of bonds and derivatives 4 (2021) 3, pp. 236-257
Persistent link: https://www.econbiz.de/10012612669
Cover Image
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418