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Forecasting US bond returns
Ilmanen, Antti - In: The journal of fixed income 7 (1997) 1, pp. 22-37
Persistent link: https://www.econbiz.de/10001223525
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A monetary explanation of the equity premium, term premium, and risk-free rate puzzles
Bansal, Ravi - In: Journal of political economy 104 (1996) 6, pp. 1135-1171
Persistent link: https://www.econbiz.de/10001212368
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A dynamic linear model of the determinants of yield spreads on fixed-income securities
Crabbe, Leland E.; Turner, Christopher M. - 1993
Persistent link: https://www.econbiz.de/10000929313
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Does the expectations hypothesis explain the term structure of treasury bond yields in Tunisia?
Boukhatem, Jamel - In: The journal of applied business research 32 (2016) 1, pp. 239-254
Persistent link: https://www.econbiz.de/10011436544
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Financial conditions, macroeconomic factors and disaggregated bond excess returns
Fricke, Christoph; Menkhoff, Lukas - In: Journal of banking & finance 58 (2015), pp. 80-94
Persistent link: https://www.econbiz.de/10011543903
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Budgetary decomposition and yield spreads
Afonso, António; Jalles, João Tovar - 2015
Persistent link: https://www.econbiz.de/10011549287
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Analysis of sovereign yield spreads behavior : the French bonds case
Vasilev, Aleksandar - 2015
The introduction of the Euro has led to price level stability and fostered growth within the European Union. Consequently, since its launch as a store of value and unit of account, there has been a clear convergence between the yield of France's sovereign debt and German benchmark. This paper...
Persistent link: https://www.econbiz.de/10011419084
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Emerging market local currency bond yields and foreign holdings : a fortune or misfortune?
Ebeke, Christian; Lu, Yinqiu - In: Journal of international money and finance 59 (2015), pp. 203-219
Persistent link: https://www.econbiz.de/10011478334
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015
We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … translate into superior predictive performance. We explore this conjecture in the context of density prediction of U.S. bond …
Persistent link: https://www.econbiz.de/10011499535