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The equity premium and the volatility spread : the role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …
Persistent link: https://www.econbiz.de/10003852916
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A Preferred-Habitat Model of the Term Structure of Interest Rates
Vayanos, Dimitri - 2009
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and...
Persistent link: https://www.econbiz.de/10013155019
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A Preferred-Habitat Model of the Term Structure of Interest Rates
Vayanos, Dimitri - 2009
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and...
Persistent link: https://www.econbiz.de/10012463162
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Intermediary-based equity term structure
Li, Kai; Xu, Chenjie - In: Journal of financial economics 157 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10015072447
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Reasonableness of risk premia : a study of the term structure with risk premia in the Gensaki market
Yoshida, Atsushi - In: The economic studies quarterly : the journal of the … 45 (1994) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001171311
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A solution to the equity premium and risk-free rate puzzles : an empirical investigation using Japanese data
Maki, Atsushi; Sonoda, Tadashi - In: Applied financial economics 12 (2002) 8, pp. 601-612
Persistent link: https://www.econbiz.de/10001677021
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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Carry trades, momentum trading and the forward premium anomaly
Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464
Persistent link: https://www.econbiz.de/10009261760
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An exploration of the forward premium puzzle in currency markets
Bansal, Ravi - In: The review of financial studies 10 (1997) 2, pp. 369-403
Persistent link: https://www.econbiz.de/10001220578
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Nelson-Siegel decay factor and term premia in Japan
Koeda, Junko; Sekine, Atsushi - 2021
Persistent link: https://www.econbiz.de/10012617816