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Measuring and controlling interest rate and credit risk
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - 2003 - 2. ed.
Persistent link: https://www.econbiz.de/10004734895
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The SABR/LIBOR market model : pricing, calibrating and hedging for complex interest-rate derivatives
Rebonato, Riccardo; McKay, Kenneth; White, Richard - 2009
Persistent link: https://www.econbiz.de/10004931607
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a …
Persistent link: https://www.econbiz.de/10011931879
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Disaggregation and the equity premium puzzle
Wilson, Matthew S. - In: Journal of empirical finance 58 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012430446
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Expectation-driven term structure of equity and bond yields
Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...
Persistent link: https://www.econbiz.de/10013193433
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Correlation regimes in international equity and bond returns
Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
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Unsecured credit supply risk and bond prices
Mabille, Pierre - 2020
Persistent link: https://www.econbiz.de/10012322336
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Are bond markets really overpriced : the case of the US
Clostermann, Jörg; Seitz, Franz - 2005
-term interest rates and the business cycle. A changed structural demand for bonds does not seem to be at work. The existing …
Persistent link: https://www.econbiz.de/10012002995
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Ambiguity, nominal bond yields and real bond yields
Zhao, Guihai - 2018
growth evolve over time under the true distribution, and this difference makes excess returns on long-term bonds predictable …
Persistent link: https://www.econbiz.de/10011864574
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Can unspanned stochastic volatility models explain the cross section of bond volatilities?
Joslin, Scott - In: Management science : journal of the Institute for … 64 (2018) 4, pp. 1707-1726
Persistent link: https://www.econbiz.de/10011855690