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Searching for yield abroad : risk-taking through foreign investment in U.S. bonds

Ammer, John; Claessens, Stijn; Tabova, Alexandra; … - 2018

The risk-taking effects of low interest rates, now prevailing in many advanced countries, "search-for-yield," can be hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment into the United States allow us to overcome...

Persistent link: https://www.econbiz.de/10011854698

Can unspanned stochastic volatility models explain the cross section of bond volatilities?

Joslin, Scott - In: Management science : journal of the Institute for … 64 (2018) 4, pp. 1707-1726

Persistent link: https://www.econbiz.de/10011855690

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

Tang, Mei-Ling; Chen, Son-nan; Lai, Gene C.; Wu, Ting-Pin - In: Insurance / Mathematics & economics 78 (2018), pp. 87-104

Persistent link: https://www.econbiz.de/10011825223

Sensitivities under G2++model of the yield curve

Jaffal, H.; Rakotondratsimba, Y.; Yassine, A. - In: International journal of financial engineering 4 (2017) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10011673113

Impact of federal budget deficits on the ex ante real interest rate yield on Moody's Baa-rated long-term corporate bonds, 1960-2015

Capener, Don; Cebula, Richard J.; Rossi, Fabrizio - In: Journal of financial economic policy 9 (2017) 2, pp. 198-208

Persistent link: https://www.econbiz.de/10011799771

What calls to ARMs? : international evidence on interest rates and the choice of adjustable-rate mortgages

Bădărinză, Cristian; Campbell, John Y.; Ramadorai, Tarun - In: Management science : journal of the Institute for … 64 (2018) 5, pp. 2275-2288

Persistent link: https://www.econbiz.de/10011874083

Macroeconomic stability in a model with bond transaction services

Marzo, Massimiliano; Zagaglia, Paolo - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-27

other type of government bond pays only an interest rate. Consistent with previous findings, the Taylor principle is not a … panacea for equilibrium determinacy in a model without money. When the government bond market matters beyond the need for …

Persistent link: https://www.econbiz.de/10011857224

Pricing and hedging convertible bonds under non-probabilistic interest rates

Epstein, David; Haber, Richard; Wilmott, Paul - 1999

Persistent link: https://www.econbiz.de/10009582828

Essays in financial economics

Greenwood, Robin - 2002

Persistent link: https://www.econbiz.de/10003779960

Reconciling interest rates evidence with theory : rejecting unit roots when the HD(1) is a competing alternative

Palandri, Alessandro - In: Journal of banking and finance 161 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015065796