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Modelling longevity bonds : analysing the Swiss Re Kortis bond

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011318350

Identifiability, cointegration and the gravity model

Hunt, Andrew; Blake, David - In: Insurance / Mathematics & economics 78 (2018), pp. 360-368

Persistent link: https://www.econbiz.de/10011825323

Identifiability, cointegration and the gravity model

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011318347

A memory in the bond : green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework

Mishra, Tapas; Park, Donghyun; Parhi, Mamata; Uddin, … - In: Energy economics 121 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014438770

The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach

Avdoulas, Christos; Bekiros, Stelios; Lucey, Brian M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10012299596

Does the expectations hypothesis explain the term structure of treasury bond yields in Tunisia?

Boukhatem, Jamel - In: The journal of applied business research 32 (2016) 1, pp. 239-254

Persistent link: https://www.econbiz.de/10011436544

The reinvestment risk premium in the valuation of British and Russian government bonds

Teplova, Tamara V.; Rodina, Victoria A. - In: Research in international business and finance 55 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013264646

Pitfalls and merits of cointegration-based mortality models

Jarner, Søren F.; Jallbjørn, Snorre - In: Insurance / Mathematics & economics 90 (2020), pp. 80-93

Persistent link: https://www.econbiz.de/10012169501

A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22

The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently … across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple … factors: a factor common for all age groups, factors for infant and adult mortality, and a factor for the “accident hump” that …

Persistent link: https://www.econbiz.de/10012025646

Sukuk and bond dynamics in relation to exchange rate

Syed Mabruk Billah; Nguyen Thi Thu Ha; Chowdhury, Md … - In: International journal of Islamic and Middle Eastern … 16 (2023) 3, pp. 621-646

Persistent link: https://www.econbiz.de/10014339879