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Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 171-194

Persistent link: https://www.econbiz.de/10009722142

Inflation risk premia, yield volatility, and macro factors

Berardi, Andrea; Plazzi, Alberto - In: Journal of financial econometrics 17 (2019) 3, pp. 397-431

Persistent link: https://www.econbiz.de/10012054457

An empirical validation of financial contagion by a multivariate VAR model

Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244

Persistent link: https://www.econbiz.de/10012138318

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

Long-term foreign exchange risk premia and inflation risk

Daehwan, Kim; Moneta, Fabio - In: International review of financial analysis 78 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013253471

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Dissecting the yield curve : the international evidence

Berardi, Andrea; Plazzi, Alberto - In: Journal of banking & finance 134 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013400006

Bond risk premia in a small open economy with volatile capital flows : the case of Korea

Yun, Jaeho - In: Journal of international money and finance 93 (2019), pp. 223-243

Persistent link: https://www.econbiz.de/10012138637

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

Credit spread variability in the U.S. business cycle : the Great Moderation versus the Great Recession

Hollander, Hylton; Liu, Guangling - In: Journal of banking & finance 67 (2016), pp. 37-52

Persistent link: https://www.econbiz.de/10011634640

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