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Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10012383724

Short- and long-run behaviour of long-term sovereign bond yields

Afonso, António; Rault, Christophe - In: Applied economics 47 (2015) 37/39, pp. 3971-3993

Persistent link: https://www.econbiz.de/10011294673

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

Market liquidity risk premia in Eurozone government bonds' yield spreads

Kahlert, Dennis - In: Three essays on capital and liquidity, (pp. 54-106). 2018

Persistent link: https://www.econbiz.de/10012116890

Are bond markets really overpriced : the case of the US

Clostermann, Jörg; Seitz, Franz - 2005

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …

Persistent link: https://www.econbiz.de/10012002995

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 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

Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread : a threshold vector error correction approach

Evgenidis, Anastasios; Tsagkanos, Athanasios; … - In: Research in international business and finance 39 (2017), pp. 267-279

Persistent link: https://www.econbiz.de/10011876475

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834

Determinants of weekly yields on government securities in India

Dua, Pami; Raje, Nishita - 2010

Persistent link: https://www.econbiz.de/10003984585