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Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...

Persistent link: https://www.econbiz.de/10010404146

Arbitrage-free models of stocks and bonds

Durham, J. Benson - 2013

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Persistent link: https://www.econbiz.de/10010222892

Option-implied term structures

Vogt, Erik - 2014

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

Persistent link: https://www.econbiz.de/10010459730

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities, and products, including variance swaps, straddles, and...

Persistent link: https://www.econbiz.de/10011904683

Beating the random walk in Central and Eastern Europe by survey forecasts

Naszódi, Anna - 2011

This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast horizons. The survey forecasts are on the exchange rates of five Central and Eastern European currencies: Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu and Slovakian...

Persistent link: https://www.econbiz.de/10010322480

The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10010324679

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...

Persistent link: https://www.econbiz.de/10010326422

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds

Schuster, Philipp; Uhrig-Homburg, Marliese - 2012

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

Persistent link: https://www.econbiz.de/10010310876

The equity premium and the volatility spread: The role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …

Persistent link: https://www.econbiz.de/10010279907

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