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Overlooked market risk shocks : prepayment uncertainty and option-adjusted spreads
Bogin, Alexander N.; Polkovnichenko, Nataliya; Doerner, … - In: The journal of fixed income 26 (2016) 2, pp. 5-15
Persistent link: https://www.econbiz.de/10011684637
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Affine models with stochastic market price of risk
Rebonato, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
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Macro risks and the term structure of interest rates
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017
estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …
Persistent link: https://www.econbiz.de/10011709342
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Evaluation of long-dated assets : the role of parameter uncertainty
Gollier, Christian - In: Journal of monetary economics 84 (2016), pp. 66-83
Persistent link: https://www.econbiz.de/10011709636
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Forward guidance, monetary policy uncertainty, and the term premium
Bundick, Brent; Herriford, Trenton; Smith, A. Lee - 2017
Persistent link: https://www.econbiz.de/10011763645
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Risk aversion, uncertainty, and monetary policy in zero lower bound environments
Hahn, Jaehoon; Jang, Woon Wook; Kim, Seong Jin - In: Economics letters 156 (2017), pp. 118-122
Persistent link: https://www.econbiz.de/10011822385
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Long-run risk and money market rates : an empirical assessment
D'Addona, Stefano - In: Macroeconomic dynamics 21 (2017) 4, pp. 1096-1117
Persistent link: https://www.econbiz.de/10011805440
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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Monetary policy uncertainty and economic fluctuations
Creal, Drew; Wu, Jing Cynthia - In: International economic review 58 (2017) 4, pp. 1317-1354
Persistent link: https://www.econbiz.de/10011860388
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Liquidity risk and volatility risk in credit spread models : a unified approach
Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901
Persistent link: https://www.econbiz.de/10011865496