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Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352

Persistent link: https://www.econbiz.de/10011589005

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

of modified yield duration. …

Persistent link: https://www.econbiz.de/10012307696

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …, dividend ratio model, yield curve and term structure, all of which are concepts used to analyse pricing and other behaviour in …

Persistent link: https://www.econbiz.de/10014337024

High-yield versus investment-grade bonds : less risk and greater returns?

Li, Hsi-cheng; McCarthy, Joseph; Pantalone, Coleen C. - In: Applied financial economics 24 (2014) 19/21, pp. 1303-1312

Persistent link: https://www.econbiz.de/10010460175

Decomposing long bond returns : a decentralized theory

Carr, Peter; Wu, Liuren - In: Review of finance : journal of the European Finance … 27 (2023) 3, pp. 997-1026

Persistent link: https://www.econbiz.de/10014318020

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

Nelson-Siegel decay factor and term premia in Japan

Koeda, Junko; Sekine, Atsushi - 2021

Persistent link: https://www.econbiz.de/10012617816

Nelson-Siegel decay factor and term premia in Japan

Koeda, Junko; Sekine, Atsushi - In: Journal of the Japanese and international economies : … 64 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013332206

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis … allows us to use the information of basically the whole yield curve in a parsimonious way for exchange rate risk prediction …. The data analyzed in our empirical study consist of the EURUSD exchange rate and the EUR- and US-yield curves from 15 …

Persistent link: https://www.econbiz.de/10011890808