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Forecasting bond returns in a macro model
Hou, Keqiang; Li, Xing; Li, Zeguang; Wu, Ting - In: International review of economics & finance : IREF 72 (2021), pp. 524-545
Persistent link: https://www.econbiz.de/10012671988
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Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio
Obadović, Milica; Petrović, Evica; Vunjak, Nenad; … - In: Economic research 29 (2016) 1, pp. 475-484
Persistent link: https://www.econbiz.de/10012221663
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The microstructure of government debt markets
Holland, Allison - In: Government debt management : new trends and challenges, (pp. 209-225). 2006
Persistent link: https://www.econbiz.de/10003382821
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
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Credit market conditions and the impact of the public debt market on corporate leverage
Judge, Amrit; Korzhenitskaya, Anna - In: International review of financial analysis 25 (2012), pp. 28-63
Persistent link: https://www.econbiz.de/10009688141
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Identification and inference using event studies
Gürkaynak, Refet S.; Wright, Jonathan H. - In: Papers in money, macroeconomics and finance : … 81 (2013), pp. 48-65
Persistent link: https://www.econbiz.de/10010254184
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Bond market event study methods
Ederington, Louis H.; Guan, Wei; Yang, Zongfei - In: Journal of banking & finance 58 (2015), pp. 281-293
Persistent link: https://www.econbiz.de/10011544008
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Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?
Christopher, Rachel; Kim, Suk-Joong; Wu, Eliza - In: Journal of international financial markets, … 22 (2012) 4, pp. 1070-1089
Persistent link: https://www.econbiz.de/10009582485
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Enhancement of the bond duration-convexity approximation
Lajili, Souad; Rakotondratsimba, Yves - In: International journal of economics and finance 4 (2012) 3, pp. 115-125
Persistent link: https://www.econbiz.de/10009613382