Narrow search
Showing 1 - 10 of 24,177
Cover Image
Far Out on the Yield Curve
Alexius, Annika - 2004
relationship between duration and the first and second moments of bond returns. We identify three different channels through which … duration affects bond returns. The liquidity preference hypothesis yields a direct link between duration and returns, which … risk premia obtained from a multivariate GARCH-M model extended to allow the variance to depend on duration are of the same …
Persistent link: https://www.econbiz.de/10010321581
Cover Image
Robust Bond Risk Premia
Bauer, Michael D.; Hamilton, James D. - 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10011388198
Cover Image
Market fragility and the paradox of the recent stock-bond dissonance
Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017
After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically, bond rates have been persistently negative after...
Persistent link: https://www.econbiz.de/10011764473
Cover Image
Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10011346306
Cover Image
Market fragility and the paradox of the recent stock-bond dissonance
Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017
After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically, bond rates have been persistently negative after...
Persistent link: https://www.econbiz.de/10011760864
Cover Image
Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan - 2018
Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...
Persistent link: https://www.econbiz.de/10011969192
Cover Image
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10010281337
Cover Image
Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan - 2018
Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...
Persistent link: https://www.econbiz.de/10011817166
Cover Image
Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity
Seo, Byeongseon - Econometric Society - 2004
The notion of cointegration was developed by Engle and Granger (1987), and since then has been considered important in the recent development of time series econometrics. Many statistical methods have been developed for the analysis of the cointegrated systems, and several methods of estimating...
Persistent link: https://www.econbiz.de/10005328963
Cover Image
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - Finance Discipline Group, Business School - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10004980459