. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …

of the real short rate and influences the expectations hypothesis component embedded in bond yields. As a result …, including growth data in canonical yield-curve models delivers significant gains in the predictability of bond excess returns in …

stability with relatively large values of bond tenor even when inputting both relatively large values of the annualised short … short-rate standard deviation, σ, and bond tenor, T, such that σ 2T 3 > 3.6 and σ 2T 3 > 17.1 respectively, given sensible … bond market tolerance requirements for the model’s accuracy. In what follows, we show how the practitioner must modify …

duration and the convexity of a corporate coupon bond as compared to those of an equivalent Treasury coupon bond. For bond …