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~person:"Singleton, Kenneth J."
~subject:"Risikoprämie"
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Risikoprämie
Yield curve
32
Zinsstruktur
32
Theorie
22
Theory
22
Risk premium
13
Estimation
10
Schätzung
10
USA
7
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1987-1996
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Macro-finance term structure model
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1954-1998
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Singleton, Kenneth J.
Hördahl, Peter
29
D'Amico, Stefania
20
Verdelhan, Adrien
18
Christensen, Jens H. E.
16
Chernov, Mikhail
15
Tristani, Oreste
15
Iania, Leonardo
14
Goldstein, Robert S.
13
Pericoli, Marcello
13
Bekaert, Geert
12
Bernoth, Kerstin
12
Kim, Don H.
12
Orphanides, Athanasios
12
Rudebusch, Glenn D.
12
Sarno, Lucio
12
Vayanos, Dimitri
12
Bauer, Michael D.
11
Lustig, Hanno
11
Remolona, Eli M.
11
Wei, Min
11
Afonso, António
10
Andreasen, Martin Møller
10
Bansal, Ravi
10
Collin-Dufresne, Pierre
10
Dai, Qiang
10
Kaminska, Iryna
10
Moessner, Richhild
10
Piazzesi, Monika
10
Tzavalis, Elias
10
Zhou, Hao
10
Zinna, Gabriele
10
Berardi, Andrea
9
Creal, Drew
9
Dahlquist, Magnus
9
Durham, J. Benson
9
Engstrom, Eric
9
Favero, Carlo A.
9
Gollier, Christian
9
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9
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ECONIS (ZBW)
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1
Do term limits restrain state fiscal policy? : approaches for causal inference in assessing the effects of legislative institutions
Giacoletti, Marco
;
Laursen, Kristoffer
;
Singleton, …
-
2016
We study risk premiums in the US Treasury bond market from the perspective of a Bayesian econometrician RA who learns in real-time from disagreement among investors about future bond yields. Notably, disagreement has substantial predictive power for yields, and RA's risk premiums are less...
Persistent link: https://www.econbiz.de/10011862287
Saved in:
2
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Joslin, Scott
-
2014
correlated with) information about the shape of the Treasury
yield
curve
. Our model reveals that, over the period 1985 …'s remarks on the interplay between term premiums, the shape of the
yield
curve
, and the macroeconomy …
Persistent link: https://www.econbiz.de/10013063563
Saved in:
3
Specification Analysis of Affine Term Structure Models
Dai, Qiang
-
2008
allowing for correlated factors is key to simultaneously describing the short and long ends of the
yield
curve
. This finding is …
Persistent link: https://www.econbiz.de/10012774938
Saved in:
4
Risk premiums in dynamic term structure models with unspanned macro risks
Joslin, Scott
;
Priebsch, Marcel
;
Singleton, Kenneth J.
- In:
The journal of finance : the journal of the American …
69
(
2014
)
3
,
pp. 1197-1233
Persistent link: https://www.econbiz.de/10010373335
Saved in:
5
Discrete-time affine Q term structure models with generalized market prices of risk
Le, Anh
;
Singleton, Kenneth J.
;
Dai, Qiang
- In:
The review of financial studies
23
(
2010
)
5
,
pp. 2184-2227
Persistent link: https://www.econbiz.de/10003969127
Saved in:
6
Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
Dai, Qiang
-
2001
Though linear projections of returns on the slope of the
yield
curve
have contradicted the implications of the …, we show that certain risk-premium adjusted' projections of changes in yields on the slope of the
yield
curve
recover the …
Persistent link: https://www.econbiz.de/10012470559
Saved in:
7
Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
Dai, Qiang
-
2001
Though linear projections of returns on the slope of the
yield
curve
have contradicted the implications of the …, we show that certain risk-premium adjusted' projections of changes in yields on the slope of the
yield
curve
recover the …
Persistent link: https://www.econbiz.de/10012787777
Saved in:
8
Specification Analysis of Affine Term Structure Models
Dai, Qiang
-
1997
for correlated factors is key to simultaneously describing the short and long ends of the
yield
curve
. This finding is …
Persistent link: https://www.econbiz.de/10012472684
Saved in:
9
Chapter 20 Fixed-income pricing
Dai, Qiang
;
Singleton, Kenneth J.
-
2003
designed to price fixed-income derivatives, taking the current
yield
curve
as an input into the pricing framework. These …
Persistent link: https://www.econbiz.de/10014023851
Saved in:
10
Expectation puzzles, time-varying risk premia, and affine models of the term structure
Dai, Qiang
;
Singleton, Kenneth J.
- In:
Journal of financial economics
63
(
2002
)
3
,
pp. 415-441
Persistent link: https://www.econbiz.de/10001661702
Saved in:
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