This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short … reaffirm John Maynard Keynes's view that the central bank's monetary policy affects long-term government bond yields through … with empirical patterns discerned in previous studies related to government bond yields in both advanced countries and …

random volatility of the short rate are manifested mostly in bond option prices rather than in bond prices … interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level … of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European …

Purpose: This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India … interbank interest rates from each market. Design/methodology/approach - To the volatility of interest rates returns, the study … (ARIMA) models, checking which of these processes were more efficient in capturing volatility of interest rates of each of …