We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).

Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes. Within a multivariate framework, the Box and...

Some years ago, Crack and Ledoit (1996) discovered a strikingly geometric structure when plotting US stock returns against themselves. Since this pattern, in which lines radiating from the origin pop up, resembles the navigating tool it was named “Compass Rose”. Although authors differ in...

In this paper, we study the sensitivity of insurance companies’ stock returns with respect to expected and unexpected changes in the Federal funds target rate over the period 1988-2007. We confirm Bernanke and Kuttner (2005) that, as stocks in general, insurance stock returns are only...

Following the approach of Fama and Schwert (1977), we investigate the inflation hedging ability of stocks, gold and real estate for Vietnam and Thailand. We estimate the relationship between their returns and various inflation measures (actual inflation, expected inflation as well as unexpected...

The limited availability of high quality and computer readable data seriously impedes research in history and finance. We introduce a new monthly return series for Belgian owned equity based on Brussels Stock Market data for the period 1832–1914 as an improvement to the popular Drappier index....

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty...

In this study, we demonstrate that the average reporting lag of Belgian interim reports is large but has decreased slightly over the years 1991-1998. Contrary to US findings, we show that the disclosure of interim reports containing bad (good) news is not systematically delayed (speeded up)....

Journal of Economic Surveys, 17/5, 2003, 749-766