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Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 171-194

Persistent link: https://www.econbiz.de/10009722142

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/10009573890

The inflation risk premium in the term structure of interest rates

Hördahl, Peter - In: BIS quarterly review : international banking and … (2008), pp. 23-38

Persistent link: https://www.econbiz.de/10003756826

Inflation risk premia, yield volatility, and macro factors

Berardi, Andrea; Plazzi, Alberto - In: Journal of financial econometrics 17 (2019) 3, pp. 397-431

Persistent link: https://www.econbiz.de/10012054457

A research on eurozone bond market and determinants of sovereign bond yields

Gill, Navjeet - In: Inventi impact: emerging economies (2018) 4, pp. 208-224

Persistent link: https://www.econbiz.de/10012241572

An empirical validation of financial contagion by a multivariate VAR model

Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244

Persistent link: https://www.econbiz.de/10012138318

Sovereign risk and its changing effects on bond duration during financial crisis

Lee, Hei Wei; Xie, Yan Alice; Yau, Jot - In: Applied financial economics 24 (2014) 22/24, pp. 1465-1477

Persistent link: https://www.econbiz.de/10010460096

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...

Persistent link: https://www.econbiz.de/10012422545

Long-term foreign exchange risk premia and inflation risk

Daehwan, Kim; Moneta, Fabio - In: International review of financial analysis 78 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013253471

Sovereign risk premia in the Euro Area and the role of contagion

Linciano, Nadia; Giordano, Luca; Soccorso, Paola - In: Journal of financial management, markets and institutions 1 (2013) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10011949545

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