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Common factors in international bond returns

Driessen, Joost (contributor); … - 2000

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...

Persistent link: https://www.econbiz.de/10001528975

Pricing term structure risk in futures markets

Roon, Frans de - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 139-157

Persistent link: https://www.econbiz.de/10001243201

Estimation and testing in models containing both jumps and conditional heteroscedasticity

Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10001244002

Marginalization and contemporaneous aggregation in multivariate GARCH processes

Nijman, Theodore E. - In: Journal of econometrics 71 (1996) 1, pp. 71-87

Persistent link: https://www.econbiz.de/10001194742

Generalized least squares estimation of linear models containing rational future expectations

Nijman, Theodore E. - In: International economic review 32 (1991) 2, pp. 383-389

Persistent link: https://www.econbiz.de/10001105415

Empirical tests of a simple pricing model for sugar futures

Nijman, Theodore E. - In: Annales d'économie et de statistique (1991), pp. 121-131

Persistent link: https://www.econbiz.de/10001124281

Premia in forward foreign exchange as unobserved components : a note

Nijman, Theodore E. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 3, pp. 361-365

Persistent link: https://www.econbiz.de/10001146824

Temporal aggregation of GARCH processes

Drost, Feike C. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 909-927

Persistent link: https://www.econbiz.de/10001147137

Pricing term structure risk in futures markets

Nijman, Theodore E.; Roon, Frans de; Veld, Chris H. - 1996

Persistent link: https://www.econbiz.de/10000944055

Testing for spanning with futures contracts and nontraded assets : a general approach

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1996

Persistent link: https://www.econbiz.de/10000944513

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