This article examines the joint dynamics of volatility-volume relation in the high-yield (junk) corporate bond market … easily lead to different inferences about the volatility-volume relation in the junk bond market. More specifically …

instruments. Yet, green bonds fragment bond issues, which reduces liquidity and thereby increases financing costs. Moreover, most …

. Before the French presidential elections in 2017, the French bond spread widened together with the estimated Le Pen election …

This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …

This paper aims to explore whether text-based sentiment can perform well at predicting bond returns. We propose a … sentiment trend factor based on the bond fear index that is a powerful predictor for future bond risk premia in- and out …-of-sample. Notably, the text-based fear trend factor outperforms the previous effective bond return predictors and remains significant in …

present empirical evidence of the imprint made on corporate bond returns by the widespread use of the asset swaps data …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability … levered investments in bonds can improve short-run bond return predictability …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare …