Understanding the composition of the bond return is always a popular topic in the financial markets. There are various factors that influence the bond returns. Therefore, a precise prediction of the bond returns is still under discussion. This paper is enlightened by the papers of Ilmanen (1995,...

We demonstrate that bond yield compression is under way in the countries converging to the euro and that German yields are significant drivers of local currency yields. Based on the evidence from Poland, Hungary and the Czech Republic, we conclude that these new Member States of the European...

Este artículo incorpora la estructura temporal de tipos de interés en un modelo EGED de media escala. La extensión resulta en un modelo de predicción multiperiódico que se estima bajo dos supuestos alternativos: aprendizaje adaptativo y expectativas racionales. La información de la...