Narrow search
Showing 1 - 10 of 249,240
Cover Image
Jumps in bond yields at known times
Kim, Don H.; Wright, Jonathan H. - 2014
Persistent link: https://www.econbiz.de/10011286165
Cover Image
Jumps in bond yields at known times
Kim, Don H.; Wright, Jonathan H. - 2014
Persistent link: https://www.econbiz.de/10010461270
Cover Image
Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state...
Persistent link: https://www.econbiz.de/10013043278
Cover Image
Jumps in Bond Yields at Known Times
Kim, Don H. - 2014
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state...
Persistent link: https://www.econbiz.de/10012457955
Cover Image
Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news …
Persistent link: https://www.econbiz.de/10012896694
Cover Image
'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
Taking a cue from the assertion that “loose lips sink markets” (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news...
Persistent link: https://www.econbiz.de/10013079362
Cover Image
Yield curve momentum
Sihvonen, Markus - 2021
autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …
Persistent link: https://www.econbiz.de/10012665285
Cover Image
Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
yield spread relative to German counterparts. Particularly, among the different types of measures, news about the Securities …
Persistent link: https://www.econbiz.de/10009783711
Cover Image
Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays …
Persistent link: https://www.econbiz.de/10012655372
Cover Image
'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
Taking a cue from the assertion that "loose lips sink markets" (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news media...
Persistent link: https://www.econbiz.de/10013081470