Similar Search Results

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

Persistent link: https://www.econbiz.de/10011688099

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

A cross-sectional application of the Nelson-Siegel-Svensson model to several negative yield cases

Garcia, Maria Terese Medeiros; Carvalho, Vítor Hugo … - In: Cogent economics & finance 7 (2019) 1, pp. 1-54

The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly … negative sovereign bond yields. We conclude that the model adjusted well for all countries' yield curves, although no changes …

Persistent link: https://www.econbiz.de/10012023361

A mixed bond and equity fund model for the valuation of variable annuities

Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10012437276

Extraction of proxy relative sovereign bond yield curve factors

Ishii, Hokuto - In: Applied economics letters 29 (2022) 20, pp. 1927-1930

Persistent link: https://www.econbiz.de/10013412335

Yield curve construction : a note on the Moldovan bond market

Speian, Olesea; Ganea, Victoria; Kyriakopoulos, Constantinos - In: Bulletin of applied economics 9 (2022) 1, pp. 137-146

Persistent link: https://www.econbiz.de/10013407309

Predictive power of the implied volatility term structure in the fixed-income market

Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383

Persistent link: https://www.econbiz.de/10014293073

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021

Persistent link: https://www.econbiz.de/10012544932

Time-varying threshold dynamics of US bond yield spreads and Dow index returns

Lee, Nicholas Rueilin; Lin, Yih-Bey; Chen, Ming-Jun - In: International journal of monetary economics and finance … 16 (2023) 6, pp. 505-521

Persistent link: https://www.econbiz.de/10015066090

Implied interest rate skew, term premiums, and the "conundrum"

Durham, J. Benson - In: The journal of fixed income 17 (2007) 4, pp. 88-99

Persistent link: https://www.econbiz.de/10003729823