Similar Search Results

Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

Persistent link: https://www.econbiz.de/10010196415

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014

Persistent link: https://www.econbiz.de/10010409119

Discount rates, debt maturity, and the fiscal theory

Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, … - 2021

stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect … fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is …

Persistent link: https://www.econbiz.de/10012643869

Estimating yield spreads volatility using GARCH-type models

Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012822078

Bond Return Predictability : Economic Value and Links to the Macroeconomy

Gargano, Antonio - 2017

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

Persistent link: https://www.econbiz.de/10012972962