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Predicting returns in US treasuries : do tents matter?

Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13

Persistent link: https://www.econbiz.de/10011957124

An empirical analysis of segmented pricing of bond systematic risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464

Persistent link: https://www.econbiz.de/10010433255

A comment on Bond risk, bond return volatility, and the term structure of interest rates

Heinen, Andréas - In: International journal of forecasting 28 (2012) 1, pp. 118-120

Persistent link: https://www.econbiz.de/10009582031

Bond risk, bond return volatility, and the term structure of interest rates

Viceira, Luis M. - In: International journal of forecasting 28 (2012) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10009582041

Risk premia in covered bond markets

Prokopczuk, Marcel; Vonhoff, Volker - In: The journal of fixed income 22 (2012) 2, pp. 19-29

Persistent link: https://www.econbiz.de/10009670722

Risk premia in covered bond markets

Prokopczuk, Marcel; Vonhoff, Volker - 2012

Persistent link: https://www.econbiz.de/10009520556

Bond positions, expectations, and the yield curve

Piazzesi, Monika (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003732148

Bond Positions, Expectations, and the Yield Curve

Piazzesi, Monika - 2015

This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond … bond payoffs. Risk premia measured by an econometrician vary because of changes in investors' subjective risk premia that …

Persistent link: https://www.econbiz.de/10013032866

Expectations and Risk Premia at 8 : 30am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

Hördahl, Peter - 2017

What explains the sharp movements of the yield curve in response to major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements...

Persistent link: https://www.econbiz.de/10012940945

A model of bond value : explaining yields with growth and inflation

Shevlin, Thomas - In: Journal of investment management : JOIM 17 (2019) 2, pp. 17-39

Persistent link: https://www.econbiz.de/10012254275