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German inflation-linked bonds : overpriced, yet undervalued

Christensen, Jens H. E.; Mouabbi, Sarah; Paulson, Caroline - 2025 - This version: January 30, 2025

Persistent link: https://www.econbiz.de/10015210558

Time-varying risk of nominal bonds : how important are macroeconomic shocks?

Ermolov, Andrey - In: Journal of financial economics 145 (2022) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10013473700

Regime shifts in a long-run risks model of stock and treasury bond markets

Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570

Persistent link: https://www.econbiz.de/10013453608

The determinants of sovereign risk premiums in the UK and the European government bond market : the impact of Brexit

Kadiric, Samir - 2020

Persistent link: https://www.econbiz.de/10012244831

The determinants of sovereign risk premiums in the UK and the European government bond market : the impact of Brexit

Kadiric, Samir - In: International economics and economic policy 19 (2022) 2, pp. 267-298

Persistent link: https://www.econbiz.de/10013440163

Systematic risk and yield premiums in the bond market

Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10011298058

Market fragility and the paradox of the recent stock-bond dissonance

Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017

After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically, bond rates have been persistently negative after...

Persistent link: https://www.econbiz.de/10011760864

No-arbitrage pricing of GDP-linked bonds

Eguren-Martin, Fernando; Meldrum, Andrew; Yan, Wen - 2020

Persistent link: https://www.econbiz.de/10012202970

Market fragility and the paradox of the recent stock-bond dissonance

Koulovatianos, Christos; Li, Jian; Weber, Fabienne - In: Economics letters 162 (2018), pp. 162-166

Persistent link: https://www.econbiz.de/10011939827

On the Risk Return Relationship

Wang, Jian-xin - 2012

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …

Persistent link: https://www.econbiz.de/10013107127