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Do bonds span volatility risk in the US treasury market? : a specification test for affine term structure models

Andersen, Torben; Benzoni, Luca - In: The journal of finance : the journal of the American … 65 (2010) 2, pp. 603-653

Persistent link: https://www.econbiz.de/10003962242

Did the repeated debt ceiling controversies embed default risk in US Treasury securities?

Liu, Pu; Shao, Yingying; Yeager, Timothy J. - In: Journal of banking & finance 33 (2009) 8, pp. 1464-1471

Persistent link: https://www.econbiz.de/10003855540

Empirical evidence on jumps in the term structure of the US Treasury Market

Dungey, Mardi H.; McKenzie, Michael D.; Smith, L. Vanessa - In: Journal of empirical finance 16 (2009) 2, pp. 430-445

Persistent link: https://www.econbiz.de/10003856815

Testing the expectations hypothesis in the emerging markets of the Middle East : an application to Egyptian and Lebanese treasury securities

Hakim, Sam R.; Neaime, Simon - In: Financial econometrics modeling : derivatives pricing, …, (pp. 188-202). 2011

Persistent link: https://www.econbiz.de/10008987971

The term structure of bond market liquidity and its implications for expected bond returns

Goyenko, Ruslan; Subrahmanyam, Avanidhar; Ukhov, Andrey - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 1, pp. 111-139

Persistent link: https://www.econbiz.de/10008991268

The effectiveness of alternative monetary policy tools in a zero lower bound environment

Hamilton, James D.; Wu, Jing Cynthia - In: Journal of money, credit and banking : JMCB 44 (2012), pp. 3-46

Persistent link: https://www.econbiz.de/10009574683

Information in the US treasury term structure of interest rates

Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: The financial review : the official publication of the … 47 (2012) 2, pp. 247-272

Persistent link: https://www.econbiz.de/10009545426

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

Forecasting interest rates

Duffee, Greg - 2012 - This version: July 2012

This chapter discusses what the asset-pricing literature concludes about the forecastability of interest rates. It outlines forecasting methodologies implied by this literature, including dynamic, no-arbitrage term structure models and their macro-finance extensions. It also reviews the...

Persistent link: https://www.econbiz.de/10009557645

Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models

Yu, Wei-choun; Zivot, Eric - In: International journal of forecasting 27 (2011) 2, pp. 579-591

Persistent link: https://www.econbiz.de/10009247403

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