Instantaneous volatility of the yield curve, variance risk premium and bond return predictability
Ximing Yin, Ge Yang
| Year of publication: |
2024
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| Authors: | Yin, Ximing ; Yang, Ge |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 77.2024, Art.-No. 101490, p. 1- 18
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| Subject: | Bond return | Instantaneous volatility | Random field | Term structure | Variance risk premium | Volatilität | Volatility | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Anleihe | Bond | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Rentenmarkt | Bond market | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101490 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014578543