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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

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays … to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …

Persistent link: https://www.econbiz.de/10014343097

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

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

Explaining bond return predictability in an estimated New Keynesian model

Andreasen, Martin Møller - 2019

Persistent link: https://www.econbiz.de/10012063989

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2021

coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays …

Persistent link: https://www.econbiz.de/10012655372

Yield curves from different bond data sets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: Review of derivatives research 23 (2020) 2, pp. 191-226

Persistent link: https://www.econbiz.de/10012229792

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

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 946-957

Persistent link: https://www.econbiz.de/10015053510

Oil price uncertainty and movements in the US government bond risk premia

Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012654789