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The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

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

Estimating yield spreads volatility using GARCH-type models

Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012822078

Return and volatility spillovers between currency and bond markets in India

Sahoo, Sudarsana; Kumar Behera, Harendra; Trivedi, Pushpa L. - In: Macroeconomics and finance in emerging market economies 12 (2019) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10012176862

The impact of macroeconomic news on Polish and Czech government bond markets

Hausenblas, Václav; Pištora, Vojtěch - 2015

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...

Persistent link: https://www.econbiz.de/10010529892

Determinants of Vietnam government bond yield volatility : a GARCH approach

Trinh Quoc Trung; Nguyen Anh Phong; Nguyen Hoang Anh; … - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 7, pp. 15-25

Persistent link: https://www.econbiz.de/10012668012

Analysis of nonlinear comovement of benchmark Thai government bond yields

Rewat Khanthaporn - 2022

Persistent link: https://www.econbiz.de/10013429426

Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332

Prices and volatilities in the corporate bond market

Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015

, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …-bond volatility relation is important even after controlling for equity volatility. The relation between yield spreads and … investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility …

Persistent link: https://www.econbiz.de/10011772268

Instantaneous volatility of the yield curve, variance risk premium and bond return predictability

Yin, Ximing; Yang, Ge - In: Journal of empirical finance 77 (2024), pp. 1- 18

Persistent link: https://www.econbiz.de/10014578543