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Term Structure Models with Parallel and Proportional Shifts

Armerin, Frederik; Björk, Tomas; Jensen, Bjarne Astrup - Copenhagen Business School - 2005

We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only changes through a parallel shift. We consider HJM type forward rate models driven by a multidimensionalWiener process as well as by a general marked point process. Within...

Persistent link: https://www.econbiz.de/10005196966

On a consistent state-space bond markets model for pricing long-maturity bonds

Ikpe, Dennis; Sithole, Yethu; Gyamerah, Samuel Asante - In: International journal of financial engineering 9 (2022) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10014234421

Credit rating in China's bond market : evidence from short-term financing bonds

Zhu, Song - In: Modern economy 4 (2013) 2, pp. 119-129

Persistent link: https://www.econbiz.de/10010201953

Common currency and determinants of government bond risk premiums

Poniatowski, Grzegorz - In: Central European journal of economic modelling and … 6 (2014) 2, pp. 71-88

Persistent link: https://www.econbiz.de/10010503057

Information technology investments and firm risk across industries : evidence from the bond market

Kim, Keongtae; Mithas, Sunil; Kimbrough, Michael - In: Management information systems : mis quarterly 41 (2017) 4, pp. 1347-1367

Persistent link: https://www.econbiz.de/10011777442

Country risk at investing in capital markets : the case of Italy

Chovancová, Božena; Árendáš, Peter; Slobodník, Patrik - In: Problems and perspectives in management : PPM ; … 17 (2019) 2, pp. 440-448

Persistent link: https://www.econbiz.de/10012122585

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...

Persistent link: https://www.econbiz.de/10012422545

An empirical study on the impact of monetary policy on the bond market in China

Yim, Byung-Jin; Huang, Yefei - In: Journal of international trade & commerce 15 (2019) 6, pp. 105-120

Persistent link: https://www.econbiz.de/10012591084

Forecasting the term structure in emerging markets using extensions of the dynamic Nelson-Siegel model

Anisimov, Maksim - 2020

Persistent link: https://www.econbiz.de/10012288379

Yield curve construction : a note on the Moldovan bond market

Speian, Olesea; Ganea, Victoria; Kyriakopoulos, Constantinos - In: Bulletin of applied economics 9 (2022) 1, pp. 137-146

Persistent link: https://www.econbiz.de/10013407309