Similar Search Results

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Persistent link: https://www.econbiz.de/10012665285

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Krippner, Leo - 2011

Yield curve models within the Nelson and Siegel (hereafter NS) class have proven very popular in finance and macrofinance, but they lack a theoretical foundation. In this article, I show how the Level, Slope, and Curvature components common to all NS models arise explicitly from low-order Taylor...

Persistent link: https://www.econbiz.de/10013120885

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Dependence in credit default swap and equity markets : dynamic copula with Markov-switching

Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678

Persistent link: https://www.econbiz.de/10011746197

Time-Series and Cross-Section of Risk Premia Expectations : A Bottom-Up Approach

Bastianello, Federico - 2022

I construct a new dataset of subjective total return expectations at the single stock level using forecast data of sell-side analysts, which I then aggregate at both market and portfolio level. Sell-side analysts' expectations appear to be countercylical, contrarian and less persistent than...

Persistent link: https://www.econbiz.de/10013491683

Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series Dynamics

Rasmussen, Torben Beedholm - 2010

Starting from the discrete-time a ne term structure model by Dai, Le & Singleton (2006), this paper proposes a Radon-Nikodym derivative which implies that factors follow a mixture distribution under the physical measure. The model thus maintains attractive features of an affine relation between...

Persistent link: https://www.econbiz.de/10013147078

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is …

Persistent link: https://www.econbiz.de/10015408438

Global bond risk premia under falling stars

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014580460

Yield curve momentum

Sihvonen, Markus - In: Review of finance : journal of the European Finance … 28 (2024) 3, pp. 805-830

Persistent link: https://www.econbiz.de/10015046165

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919