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Bond risk premia and realized jump risk

Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345

Persistent link: https://www.econbiz.de/10003905578

A note on the predictability of excess bond returns and regime shifts

Zhu, Xiaoneng - In: Finance research letters 8 (2011) 2, pp. 101-109

Persistent link: https://www.econbiz.de/10009301292

A comment on Bond risk, bond return volatility, and the term structure of interest rates

Heinen, Andréas - In: International journal of forecasting 28 (2012) 1, pp. 118-120

Persistent link: https://www.econbiz.de/10009582031

Bond risk, bond return volatility, and the term structure of interest rates

Viceira, Luis M. - In: International journal of forecasting 28 (2012) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10009582041

Bond risk premia and realized jump volatility

Wright, Jonathan H.; Zhou, Hao - 2007

Persistent link: https://www.econbiz.de/10003827125

The overshooting hypothesis of agricultural prices : the role of asset substitutability

Lai, Ching-chong; Hu, Shih-Wen; Fan, Chip-ping - In: Journal of agricultural and resource economics : JARE ; … 30 (2005) 1, pp. 128-150

Persistent link: https://www.econbiz.de/10002895522

Are long-term bond yields excessively volatile?

Zhu, Zhen - In: Journal of economic studies 28 (2001) 6, pp. 433-445

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Corporate bond pricing and different sources of asset return volatility

Chacko, George; Hecht, Peter; Hilscher, Jens - 2002

Persistent link: https://www.econbiz.de/10001764934

Why Does the Correlation between Stock and Bond Returns Vary Over Time?

Andersson, Magnus - 2011

the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem … results suggest that periods of elevated stock market uncertainty lead to a decoupling between stock and bond prices. Finally …

Persistent link: https://www.econbiz.de/10013131459

Estimating yield spreads volatility using GARCH-type models

Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012822078