Machine learning (ML) models for predicting stock returns are typically trained on one-month forward returns. While these models show impressive full-sample gross alphas, their performance net of transaction costs post 2004 is close to zero. By training on longer prediction horizons and using...

The aim of the study is to investigate the behaviour of the Chinese government bond yield curve before and during the COVID-19 pandemic. Its methodology comprises the techniques of time series analysis, correlation analysis and dimensionality reduction. The main empirical results show that in...

In the inverted yield curve environment, whether the sixteen SDGs set up by the United Nations could be realized by 2030 sparks interesting considerations. Meanwhile, as the Reserve Bank of New Zealand is considering the potential issuance of the CBDC, the boost to SDG 8 - decent work and...

I document a major shift in the comovement between the long-term interest rate and corporate bond credit spreads. Before the Great Financial Crisis, there was no apparent correlation between the 10-year Treasury yield and bond credit spreads. However, after the Financial Crisis, corporate bond...

The ABS Research team at Investment Bank X has asked the new summer intern to come up with an innovative way to forecast Conditional Prepayment Rates (CPR). The intern has some knowledge about interest rates models and decides to apply the same approach to model CPR with the goal of testing the...

Past literature has shown that continuous time affine credit risk pricing models have appealing counterparts in discrete time, namely ARG and VARG0 models based on autoregressive Gamma processes that need no Feller conditions. This paper clarifies that ARG and VARG0 models are part of a wider...

This monograph provides an extensive literature review of models of sovereign debt crisis and of the empirical literature on the determinants of sovereign spreads. Separate sections place emphasis on debt sustainability, multiple equilibria, and on models of self-fulfilling debt crises. The last...

This paper provides evidence of the liquidity-driven nature of sovereign debt crisis episodes, with an application to the case of Greece. The results of a Component GARCH model (CGARCH) of the Greek sovereign spread for data between Jan. 1999 and Dec. 2020 are provided. A long-term component of...

This document contains implementation notes related to Bang and Daboussi (2022) . We have extended the original paper by allowing actual accrual factors (not all 1) and non-annual frequency on the fixed side. The note first describes the detailed formulas in this extended setting. In a second...

We study how short- and long-term equity claims respond to news about long-term economic growth and analyze the relative contribution of cash flows and discount rates to this response. To this end, we add the equity yields from Giglio, Kelly, and Kozak (2020) to a standard structural macro-VAR...