Similar Search Results - EconBiz

Modeling individual US T-bond prices

Tsuda, Hiroshi; Kariya, Takeaki - 1998

Persistent link: https://www.econbiz.de/10000671331

Evaluating government bond fund performance with stochastic discount factors

Ferson, Wayne E.; Henry, Tyler R.; Kisgen, Darren J. - In: The review of financial studies 19 (2006) 2, pp. 423-455

Persistent link: https://www.econbiz.de/10003355173

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10003832616

Three essays in investments : predictability in emerging sovereign debt markets, Bayesian analysis of stochastic betas, determinants of corporate bond trading

Jostova, Gergana - 2002

Persistent link: https://www.econbiz.de/10003384201

Measuring the risk-return tradeoff with time-varying conditional covariances

Hedegaard, Esben; Hodrick, Robert J. - 2014

Persistent link: https://www.econbiz.de/10010386644

Estimation and test of a simple model of intertemporal capital asset pricing

Brennan, Michael J.; Wang, Ashley W.; Xia, Yihong - In: The journal of finance : the journal of the American … 59 (2004) 4, pp. 1743-1776

Persistent link: https://www.econbiz.de/10002190689

An empirical study of a conditional international asset pricing model for US, Japanese, and European stock and government bond markets

Fearnley, Tom Arild - 2002

Persistent link: https://www.econbiz.de/10002260646

Tests of an international capital asset pricing model with stocks and government bonds and regime switching prices of risk and intercepts

Fearnley, Tom A. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001864770

Expected returns, risk and the integration of international bond markets

Barr, David G.; Priestley, Richard - In: Journal of international money and finance 23 (2004) 1, pp. 71-97

Persistent link: https://www.econbiz.de/10001896633

Excess holding yields and risk premia in the term structure of interest rates

Lee, Tae-hwy - In: Journal of quantitative economics : official journal of … 15 (1999) 1, pp. 145-153

Persistent link: https://www.econbiz.de/10001488728

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