This paper studies the interrelations among yield curve factors, market expectations and monetary policy rates using interbank interest rates across Euro- and non-Euro countries. The term structure of interest rates can be summarized by the level and slope factor, whereas curvature is not a...

This paper examines the relation between the expected return and the conditional variance using three conditional error distributions 1) the conditional normal error distribution, 2) the Generalized Error Distribution, and 3) the skewed student's t-distribution. Using a GARCH-M model modified by...