Time-varying risk of nominal bonds : how important are macroeconomic shocks?
Andrey Ermolov
| Year of publication: |
2022
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|---|---|
| Authors: | Ermolov, Andrey |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 145.2022, 1, p. 1-28
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| Subject: | Equity | Fixed income | Habit formation | Macroeconomic volatility | Sovereign bonds | Stock-bond return correlations | Volatilität | Volatility | Schock | Shock | Anleihe | Bond | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Konjunktur | Business cycle | Rentenmarkt | Bond market | Risikoprämie | Risk premium | Korrelation | Correlation | CAPM | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2022.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013473700