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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The … changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …

Persistent link: https://www.econbiz.de/10012422545

Stocks and bonds during the gold standard

Le Bris, David; Rezaee, Amir - In: Economics letters 159 (2017), pp. 119-122

Persistent link: https://www.econbiz.de/10011903450

Sovereign bond return prediction with realized higher moments

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Journal of international financial markets, … 62 (2019), pp. 53-73

Persistent link: https://www.econbiz.de/10012262440

Determinants of bond yield spread changes in South Africa

Radier, Geoffrey; Majoni, Akios; Njanike, Kosmas; … - In: African review of economics & finance : AREF : (a … 8 (2016) 2, pp. 50-81

Persistent link: https://www.econbiz.de/10011721491

Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?

Naifar, Nader; Hammoudeh, Shawkat - In: Pacific-Basin finance journal 39 (2016), pp. 57-69

Persistent link: https://www.econbiz.de/10011669181

Investigating the factors affecting the performance of offshore high-yield bond funds

Ni, Yensen; Huang, Paoyu; Ku, Yaochia; Chen, Yuhsin - In: International journal of financial services management … 9 (2018) 3, pp. 242-254

Persistent link: https://www.econbiz.de/10011979969

Crude awakening : oil prices and bond returns

Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng - 2019

filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging … that oil price increases are associated with subsequent higher bond returns. Besides, we demonstrate that not all oil price … shocks are alike: Although oil demand and supply shocks have opposite implications for economic activity and bond risk premia …

Persistent link: https://www.econbiz.de/10012003274

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

Stock and bond return relations and stock market uncertainty : evidence from wavelet analysis

Lin, Fu-Lai; Yang, Sheng-Yung; Marsh, Terry Alan; Chen, … - In: International review of economics & finance : IREF 55 (2018), pp. 285-294

Persistent link: https://www.econbiz.de/10012033480

The cross section of international government bond returns

Zaremba, Adam; Czapkiewicz, Anna - In: Economic modelling 66 (2017), pp. 171-183

Persistent link: https://www.econbiz.de/10011813710