Similar Search Results - EconBiz

Oil price uncertainty and movements in the US government bond risk premia

Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012654789

Equity volatility, bond yields, and yield spreads

Jubinski, Daniel; Lipton, Amy F. - In: The journal of futures markets 32 (2012) 5, pp. 480-503

Persistent link: https://www.econbiz.de/10010218783

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Collin-Dufresne, Pierre - 2004

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

Persistent link: https://www.econbiz.de/10012467934

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

The volatility of long-term bond returns : persistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - In: The review of economics and statistics 99 (2017) 5, pp. 884-895

Persistent link: https://www.econbiz.de/10011781305

Instantaneous volatility of the yield curve, variance risk premium and bond return predictability

Yin, Ximing; Yang, Ge - In: Journal of empirical finance 77 (2024), pp. 1- 18

Persistent link: https://www.econbiz.de/10014578543

What explains the volatility in Pakistan's sovereign bond yields?

Waheed, Mohsin; Hyder, Zulfiqar - 2023

Persistent link: https://www.econbiz.de/10014286813

Specification analysis of affine term structure models

Dai, Qiang; Singleton, Kenneth J. - 1997

Persistent link: https://www.econbiz.de/10000637523

Can affine models match the moments in bond yields?

Feldhütter, Peter - In: The quarterly journal of finance 6 (2016) 2, pp. 1-56

Persistent link: https://www.econbiz.de/10011488706

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

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