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Futures prices as risk-adjusted forecasts of monetary policy

Piazzesi, Monika; Swanson, Eric T. - In: Journal of monetary economics 55 (2008) 4, pp. 677-691

Persistent link: https://www.econbiz.de/10003764351

Explaining the level of credit spreads : option-implied jump risk premia in a firm value model

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242

Persistent link: https://www.econbiz.de/10003765155

A comprehensive look at the empirical performance of equity premium prediction

Welch, Ivo; Goyal, Amit - In: The review of financial studies 21 (2008) 4, pp. 1455-1508

Persistent link: https://www.econbiz.de/10003765294

The declining equity premium : what role does macroeconomic risk play?

Lettau, Martin; Ludvigson, Sydney C.; Wachter, Jessica - In: The review of financial studies 21 (2008) 4, pp. 1653-1687

Persistent link: https://www.econbiz.de/10003765316

Evidence on the external finance premium from the US and emerging Asian corporate bond markets

Mizen, Paul; Tsoukas, Serafeim - 2008

Persistent link: https://www.econbiz.de/10003770579

Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10003770770