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Financial volatility and time-varying risk premia

Hördahl, Peter - 1997

Persistent link: https://www.econbiz.de/10004351979

Inflation Risk Premia in the Euro Area and the United States

Hördahl, Peter; Tristani, Oreste - In: International Journal of Central Banking 10 (2014) 3, pp. 1-47

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation expectations in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate...

Persistent link: https://www.econbiz.de/10010891737

INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES

Hördahl, Peter; Tristani, Oreste - In: Journal of the European Economic Association 10 (2012) 3, pp. 634-657

Persistent link: https://www.econbiz.de/10011035465

A joint econometric model of macroeconomic and term-structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - In: Journal of econometrics 131 (2006) 1, pp. 405-444

Persistent link: https://www.econbiz.de/10006747787

Forecasting variance using stochastic volatility and GARCH

Hansson, Björn; Hördahl, Peter - In: The European journal of finance 11 (2005) 1, pp. 33-58

Persistent link: https://www.econbiz.de/10005923437

Portfolio choice and currency risk inside and outside the EMU, Giorgio de Santis, Bruno Gerard and Pierre Hillion : Comment

Hördahl, Peter - In: Swedish economic policy review 6 (1999) 1, pp. 117-121

Persistent link: https://www.econbiz.de/10006095569

Comment on Giorgio De Santis, Bruno Gerard and Pierre Hillion: Portfolio choice and currency risk inside and outside the EMU

Hördahl, Peter - In: Swedish economic policy review 6 (1999) 1, pp. 117-121

Persistent link: https://www.econbiz.de/10006095884

Portfolio choice and currency risk inside and outside the EMU

DeSantis, Giorgio; Gerard, Bruno; Hillion, Pierre; … - In: Swedish economic policy review 6 (1999) 1, pp. 87-116

Persistent link: https://www.econbiz.de/10006095885

Giorgio de Santis, Bruno Gerard and Pierre Hillion : Portfolio choice and currency risk inside and outside the EMU ; Comment

Hördahl, Peter - In: Swedish economic policy review 6 (1999) 1, pp. 117-121

Persistent link: https://www.econbiz.de/10006096010

Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia

Hördahl, Peter; Vestin, David - In: Review of finance : journal of the European Finance … 9 (2005) 1, pp. 97

Persistent link: https://www.econbiz.de/10006017523

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