Narrow search
Showing 1 - 10 of 825,797
Cover Image
Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach
Benlagha, Noureddine - In: Review of Economics & Finance 4 (2014) November, pp. 49-60
This paper investigates the behavior of volatility linkage between nominal and indexlinked bond returns using a …-linked bond returns is strongly significant and is mostly due to the liquidity risk. Second, the co-persistence in volatility …
Persistent link: https://www.econbiz.de/10011096968
Cover Image
International yield co-movements
Bekaert, Geert; Ermolov, Andrey - 2021
Persistent link: https://www.econbiz.de/10012590876
Cover Image
Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve
Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015
Persistent link: https://www.econbiz.de/10011437580
Cover Image
Sunspots and inflation-indexed bonds
Kang, Minwook - 2014
Persistent link: https://www.econbiz.de/10010370350
Cover Image
Inflation-linked bonds in incomplete markets with sunspots
Kang, Minwook - In: Macroeconomic dynamics 27 (2023) 4, pp. 928-944
Persistent link: https://www.econbiz.de/10014306673
Cover Image
Inflation, real interest rates, and the bond market : a study of UK nominal and index-linked government bond prices
Barr, David G.; Campbell, John Y. - 1996
Persistent link: https://www.econbiz.de/10000613877
Cover Image
The long-run relationship among index-linked bonds and conventional bonds
Benlagha, Noureddine - In: Review of economics & finance (2013) 1, pp. 15-24
Persistent link: https://www.econbiz.de/10009728566
Cover Image
Inflation, real interest rates, and the bond market : a study of UK nominal and index-linked government bond prices
Barr, David G. - In: Journal of monetary economics 39 (1997) 3, pp. 361-383
Persistent link: https://www.econbiz.de/10001223812
Cover Image
Inflation, real interest rates, and the bond market : a study of UK nominal and index-linked government bond prices
Barr, David G.; Campbell, John Y. - 1995
Persistent link: https://www.econbiz.de/10000924530
Cover Image
Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices
Barr, David G. - 2008
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index-linked bonds. It assumes that expected log returns on all bonds...
Persistent link: https://www.econbiz.de/10012774964