This paper reveals that the class of affine term structure models introduced by Duffie and Kan (1996) is much larger than it has been usually considered in the literature. We study "fundamental" risk factors, which represent multivariate risk aversion of the consumer volatility matrix of the...

We explore the determinants of yield differentials between long-term sovereigen bonds in Europa area. There is a common trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity differentials display sizeable hetrogeneity and no...

In this paper, we analyze the determinants of coupon rates of contingent convertible bonds (CoCos). We construct a data set of additional Tier 1 (AT1) CoCos issued by banks in the European Economic Area between 2014 and 2020. Following elements of the standard asset pricing model with additional...

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We...

This paper describes the status, challenges and scope for strengthening surveillance of chronic disease risk factors, morbidities and mortality in India. We draw upon the surveillance experience of four selected States of India namely Uttar Pradesh, Rajasthan, Kerala and Tamil Nadu to understand...