Advanced Search
MyIDEAS: Login

Citations for "Bond Risk Premia"

by John H. Cochrane & Monika Piazzesi

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. André Kurmann & Christopher Otrok, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," Cahiers de recherche, CIRPEE 1005, CIRPEE.
  2. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, Elsevier, vol. 90(1), pages 17-32.
  3. Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012. "Rehabilitating the Role of Active Management for Pension Funds," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/10219, Paris Dauphine University.
  4. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(1), pages 109-141, March.
  5. Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
  6. Byrne, Joseph P. & Nagayasu, Jun, 2008. "Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2008-49, Scottish Institute for Research in Economics (SIRE).
  7. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(1), pages 139-163.
  8. Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers, Society for Economic Dynamics 22, Society for Economic Dynamics.
  9. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
  10. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche, CIRPEE 0907, CIRPEE.
  11. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Jul, pages 241-270.
  12. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  13. Christian Bach & Stig Vinther Møller, 2010. "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers 2010-46, School of Economics and Management, University of Aarhus.
  14. Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.
  15. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(3), pages 406-426, April.
  16. Sergey V. Chernenko, 2004. "The information content of forward and futures prices: market expectations and the price of risk," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 808, Board of Governors of the Federal Reserve System (U.S.).
  17. Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008. "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1050-1061, June.
  18. Roman Kozhan & Anthony Neuberger & Paul Schneider, 2013. "The Skew Risk Premium in the Equity Index Market," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 26(9), pages 2174-2203.
  19. Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara, 2013. "Asymmetry in government bond returns," AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University 01, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
  20. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(2), pages 293-306.
  21. Møller, Stig V., 2014. "GDP growth and the yield curvature," Finance Research Letters, Elsevier, Elsevier, vol. 11(1), pages 1-7.
  22. Andrew Atkeson & Patrick J. Kehoe, 2009. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 2008, Volume 23, pages 389-425 National Bureau of Economic Research, Inc.
  23. Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus.
  24. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
  25. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(4), pages 529-563, October.
  26. Hao Zhou & Tim Bollerslev & Michael Gibson, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  27. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
  28. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 239-248.
  29. Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, School of Economics and Management, University of Aarhus.
  30. Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
  31. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers, Bank of England 356, Bank of England.
  32. Hiona Balfoussia & Mike Wickens, 2006. "Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(3), pages 261-277.
  33. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  34. Medhat Hassanein & Islam Azzam, 2010. "Ex post and ex ante returns and risks under different maturities of treasury bonds: evidence from developed and emerging markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(1), pages 103-118.
  35. Seongman Moon & Carlos Velasco, 2011. "Tests for m-dependence Based on Sample Splitting Methods," Working Papers, Research Institute for Market Economy, Sogang University 1108, Research Institute for Market Economy, Sogang University.
  36. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
  37. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers, Bank of Greece 115, Bank of Greece.
  38. Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3507, C.E.P.R. Discussion Papers.
  39. Jagjit S. Chadha & Luisa Corrado & Sean Holly, 2008. "Reconnecting Money to Inflation: The Role of the External Finance Premium," Studies in Economics, Department of Economics, University of Kent 0816, Department of Economics, University of Kent.
  40. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers, Queen Mary, University of London, School of Economics and Finance 662, Queen Mary, University of London, School of Economics and Finance.
  41. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series, European Central Bank 0544, European Central Bank.
  42. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper, Federal Reserve Bank of Atlanta 2008-02, Federal Reserve Bank of Atlanta.
  43. Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, Elsevier, vol. 174(1), pages 27-43.
  44. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers, Centre de Recherche en Economie et Statistique 2007-19, Centre de Recherche en Economie et Statistique.
  45. Bouaddi, Mohammed & Taamouti, Abderrahim, 2013. "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(12), pages 2943-2962.
  46. Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers, NIPE - Universidade do Minho 15/2010, NIPE - Universidade do Minho.
  47. Pietro Catte & Pietro Cova & Patrizio Pagano & Ignazio Visco, 2010. "The role of macroeconomic policies in the global crisis," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 69, Bank of Italy, Economic Research and International Relations Area.
  48. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics, EconWPA 0503001, EconWPA.
  49. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  50. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc.
  51. Yusho Kagraoka & Zakaria Moussa, 2010. "Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan," Working Papers, HAL halshs-00543010, HAL.
  52. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 297-311, June.
  53. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
  54. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia," SFB 649 Discussion Papers SFB649DP2008-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  55. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 579-591, April.
  56. Campbell, Sean D. & Diebold, Francis X., 2009. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(2), pages 266-278.
  57. Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Finance Working Papers 23399, East Asian Bureau of Economic Research.
  58. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(2), pages 367-394.
  59. Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li, 2013. "The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe," Working Paper Series, The Rimini Centre for Economic Analysis 62_13, The Rimini Centre for Economic Analysis.
  60. Nikolaus Hautsch & Fuyu Yang, 2010. "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model," SFB 649 Discussion Papers SFB649DP2010-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  61. Monika Piazzesi & Eric T. Swanson, 2006. "Futures prices as risk-adjusted forecasts of monetary policy," Working Paper Series, Federal Reserve Bank of San Francisco 2006-23, Federal Reserve Bank of San Francisco.
  62. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers, Federal Reserve Bank of St. Louis 2010-013, Federal Reserve Bank of St. Louis.
  63. Igor Makarov & D. Papanikolaou, 2008. "Sources of systematic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 53906, London School of Economics and Political Science, LSE Library.
  64. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(4), pages 1163-1212, May.
  65. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 598, The Johns Hopkins University,Department of Economics.
  66. John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," WEF Working Papers, ESRC World Economy and Finance Research Programme, Birkbeck, University of London 0032, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
  67. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  68. Robin Greenwood & Samuel Hanson & Jeremy C. Stein, 2008. "A Gap-Filling Theory of Corporate Debt Maturity Choice," NBER Working Papers 14087, National Bureau of Economic Research, Inc.
  69. Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers, Banque de France 143, Banque de France.
  70. Pietro Catte & Pietro Cova & Patrizio Pagano & Ignazio Visco, 2011. "Macroeconomic Policies and the Roots of the Global Crisis," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum, SUERF - The European Money and Finance Forum.
  71. Andrade, Sandro C. & Barrett, W. Brian, 2011. "Can broker-dealer client surveys provide signals for debt investing?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1170-1178, May.
  72. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  73. : Carlo A. Favero & : Arie E. Gozluklu & : Haoxi Yang, 2013. "Demographics and The Behavior of Interest Rates," Working Papers, Warwick Business School, Finance Group wpn13-10, Warwick Business School, Finance Group.
  74. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  75. Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2012. "Relationship between Consumer Price Index (CPI) and Government Bonds," MPRA Paper 40385, University Library of Munich, Germany.
  76. Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M., 2008. "Valuation of intergenerational transfers in funded collective pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 578-593, April.
  77. Thornton, Daniel L., 2014. "Monetary policy: Why money matters (and interest rates don’t)," Journal of Macroeconomics, Elsevier, Elsevier, vol. 40(C), pages 202-213.
  78. Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005. "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  79. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study," MPRA Paper 26196, University Library of Munich, Germany.
  80. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 604-622.
  81. Josh Stillwagon, 2014. "Subjective Term Premia, Consumer Sentiment, and the Zero Lower Bound," Working Papers, Trinity College, Department of Economics 1401, Trinity College, Department of Economics.
  82. Pagano, Patrizio & Pisani, Massimiliano, 2009. "Risk-adjusted forecasts of oil prices," Working Paper Series, European Central Bank 0999, European Central Bank.
  83. Almeida, Caio & Vicente, José, 2008. "The role of no-arbitrage on forecasting: Lessons from a parametric term structure model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2695-2705, December.
  84. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(1), pages 93-102.
  85. Glenn D. Rudebusch, 2010. "Macro-Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, University of Manchester, vol. 78(s1), pages 25-52, 09.
  86. Dimitris A. Georgoutsos & Petros Migiakis, 2012. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Working Papers, Bank of Greece 143, Bank of Greece.
  87. Tobias Adrian & Daniel Covitz & Nellie J. Liang, 2013. "Financial stability monitoring," Staff Reports, Federal Reserve Bank of New York 601, Federal Reserve Bank of New York.
  88. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Paper, Federal Reserve Bank of Cleveland 0705, Federal Reserve Bank of Cleveland.
  89. Robin Greenwood & Dimitri Vayanos, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24425, London School of Economics and Political Science, LSE Library.
  90. Meredith Beechey, 2006. "A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2007-06, Board of Governors of the Federal Reserve System (U.S.).
  91. Balasubramnian, Bhanu & Cyree, Ken B., 2014. "Has market discipline on banks improved after the Dodd–Frank Act?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 41(C), pages 155-166.
  92. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, School of Economics and Management, University of Aarhus.
  93. John H. Cochrane, 2007. "Commentary on "Macroeconomic implications of changes in the term premium"," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Jul, pages 271-282.
  94. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, Elsevier, vol. 26(1), pages 82-89, January.
  95. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
  96. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc.
  97. Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics, University of São Paulo (FEA-USP) 2013_04, University of São Paulo (FEA-USP).
  98. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 475-495, June.
  99. Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
  100. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Working Papers, Bank of Canada 14-13, Bank of Canada.
  101. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Working Papers, Bank of Canada 12-11, Bank of Canada.
  102. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh 157, Edinburgh School of Economics, University of Edinburgh.
  103. Eric T. Swanson, 2007. "What we do and don't know about the term premium," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue jul20.
  104. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2026-2047.
  105. Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009. "Testing the expectations hypothesis when interest rates are near integrated," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(5), pages 934-943, May.
  106. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 359-403.
  107. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute 12-140/IV/DSF46, Tinbergen Institute.
  108. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 78-93.
  109. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports, Federal Reserve Bank of New York 581, Federal Reserve Bank of New York.
  110. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
  111. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers, Business School - Economics, University of Glasgow 2008_36, Business School - Economics, University of Glasgow.
  112. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  113. repec:dgr:uvatin:2012140 is not listed on IDEAS
  114. Reynard, Samuel, 2007. "Maintaining low inflation: money, interest rates, and policy stance," Working Paper Series, European Central Bank 0756, European Central Bank.
  115. Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9022, C.E.P.R. Discussion Papers.
  116. Yun, Tack & Kim, Jinsook & Ko, Eunmi, 2012. "The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models," MPRA Paper 44212, University Library of Munich, Germany.
  117. Rebecca Hellerstein, 2011. "Global bond risk premiums," Staff Reports, Federal Reserve Bank of New York 499, Federal Reserve Bank of New York.
  118. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1202-1212, May.
  119. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers, Warwick Business School, Finance Group wpn12-06, Warwick Business School, Finance Group.
  120. Beber, Alessandro & Brandt, Michael W., 2006. "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(8), pages 1997-2039, November.
  121. Menno Middeldorp, 2011. "FOMC communication policy and the accuracy of Fed Funds futures," Staff Reports, Federal Reserve Bank of New York 491, Federal Reserve Bank of New York.
  122. Görtz, Christoph & Tsoukalas, John, 2011. "News and financial intermediation in aggregate and sectoral fluctuations," MPRA Paper 40442, University Library of Munich, Germany, revised Jul 2012.
  123. repec:pra:mprapa:38985 is not listed on IDEAS
  124. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers, NIPE - Universidade do Minho 9/2010, NIPE - Universidade do Minho.
  125. Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7547, C.E.P.R. Discussion Papers.
  126. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-07, Board of Governors of the Federal Reserve System (U.S.).
  127. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
  128. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
  129. Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports, Federal Reserve Bank of New York 340, Federal Reserve Bank of New York.
  130. Mordecai Kurz & Maurizio Motolese, 2007. "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers, Stanford Institute for Economic Policy Research 06-044, Stanford Institute for Economic Policy Research.
  131. Santiago García Verdú, 2010. "Equilibrium yield curves under regime switching," Working Papers, Banco de México 2010-08, Banco de México.
  132. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers, Federal Reserve Bank of St. Louis 2012-020, Federal Reserve Bank of St. Louis.
  133. Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 133, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  134. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(1), pages 85-114, January.
  135. Ravi Bansal & George Tauchen & Hao Zhou, 2003. "Regime-shifts, risk premiums in the term structure, and the business cycle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-21, Board of Governors of the Federal Reserve System (U.S.).
  136. Glenn Rudebusch & Eric Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series, Federal Reserve Bank of San Francisco 2008-31, Federal Reserve Bank of San Francisco.
  137. Joseph P. Byrne & Jun Nagayasu, 2012. "Common Factors Of The Exchange Risk Premium In Emerging European Markets," Bulletin of Economic Research, Wiley Blackwell, Wiley Blackwell, vol. 64(Supplemen), pages s71-s85, December.
  138. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 554-579, November.
  139. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 191-208.
  140. Don H. Kim & Jonathan H. Wright, 2005. "An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-33, Board of Governors of the Federal Reserve System (U.S.).
  141. Menno Middeldorp, 2011. "Central bank transparency, the accuracy of professional forecasts, and interest rate volatility," Staff Reports, Federal Reserve Bank of New York 496, Federal Reserve Bank of New York.
  142. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
  143. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers, University of Oxford, Department of Economics 665, University of Oxford, Department of Economics.
  144. Brian Ciochetti & James Shilling, 2007. "Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 34(4), pages 425-445, May.
  145. Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
  146. Gürkaynak, Refet S. & Levin, Andrew & Swanson, Eric T, 2006. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5808, C.E.P.R. Discussion Papers.
  147. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2333-2345, December.
  148. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 131-141.
  149. Caio Almeida & Axel Simonsen & José Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series, Central Bank of Brazil, Research Department 288, Central Bank of Brazil, Research Department.
  150. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
  151. Callum Jones & Mariano Kulish, 2011. "Long-term Interest Rates, Risk Premia and Unconventional Monetary Policy," RBA Research Discussion Papers, Reserve Bank of Australia rdp2011-02, Reserve Bank of Australia.
  152. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(1), pages 47-66, October.
  153. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(2), pages 429-490, February.
  154. Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany.
  155. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  156. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(1), pages 130-154, July.
  157. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 836-857, October.
  158. Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(8), pages 1361-1375, August.
  159. Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc.
  160. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society 581, Econometric Society.
  161. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2012. "Determinants of bank interest margins: Impact of maturity transformation," Discussion Papers, Deutsche Bundesbank, Research Centre 17/2012, Deutsche Bundesbank, Research Centre.
  162. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(3), pages 586-613.
  163. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series, Center for Financial Studies (CFS) 2009/03, Center for Financial Studies (CFS).
  164. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers, Business School - Economics, University of Glasgow 2008_35, Business School - Economics, University of Glasgow.
  165. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(4), pages 676-694.
  166. Görtz, Christoph & Tsoukalas, John, 2011. "News and Financial Intermediation in Aggregate Fluctuations," MPRA Paper 34113, University Library of Munich, Germany, revised Oct 2011.
  167. Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(2), pages 108-112, March.
  168. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers, Bank of Finland 32/2013, Bank of Finland.
  169. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers, Queen Mary, University of London, School of Economics and Finance 591, Queen Mary, University of London, School of Economics and Finance.
  170. Shaw, Frances & Murphy, Finbarr & O’Brien, Fergal, 2014. "The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps," Research in International Business and Finance, Elsevier, Elsevier, vol. 30(C), pages 348-368.
  171. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper, Norges Bank 2014/02, Norges Bank.
  172. Ricardo M. Sousa, 2011. "Wealth, Labour Income, Stock Returns and Government Bond Yields, and Financial Stress in the Euro Area," NIPE Working Papers, NIPE - Universidade do Minho 22/2011, NIPE - Universidade do Minho.
  173. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers, University of Connecticut, Department of Economics 2008-07, University of Connecticut, Department of Economics.
  174. Miyanishi, Masako, 2012. "Testing the single-factor model in the presence of persistent regressors," Economics Letters, Elsevier, Elsevier, vol. 116(3), pages 634-636.
  175. Audrino, Francesco & Barone-Adesi, Giovanni, 2006. "A dynamic model of expected bond returns: A functional gradient descent approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2267-2277, December.
  176. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers, Bank of Finland 25/2006, Bank of Finland.
  177. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers, Society for Economic Dynamics 778, Society for Economic Dynamics.
  178. Jacobs, Kris & Karoui, Lotfi, 2009. "Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 91(3), pages 288-318, March.
  179. Balasubramnian, Bhanu & Cyree, Ken B., 2011. "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(1), pages 21-35, January.
  180. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 79(2), pages 365-399, February.
  181. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 1-24.
  182. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 599, The Johns Hopkins University,Department of Economics.
  183. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, School of Economics and Management, University of Aarhus.
  184. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  185. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 206-233.
  186. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers, Business School - Economics, University of Glasgow 2008_28, Business School - Economics, University of Glasgow.
  187. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper, Tilburg University, Center for Economic Research 2006-78, Tilburg University, Center for Economic Research.
  188. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(1), pages 90-113, July.
  189. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  190. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 35-44, September.
  191. Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(4), pages 469-494, December.
  192. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, Elsevier, vol. 170(1), pages 32-49.
  193. Clive G. Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers, Economics Group, Nuffield College, University of Oxford 2006-W05, Economics Group, Nuffield College, University of Oxford.
  194. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, Elsevier, vol. 93(2), pages 292-324, August.
  195. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(4), pages 592-608, June.
  196. Don H Kim & Athanasios Orphanides, 2007. "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, June.
  197. Wouter Hueskes & Ralph S.J. Koijen & Evert B. Vrugt & Jules H. van Binsbergen, 2011. "A Term Structure of Growth," 2011 Meeting Papers, Society for Economic Dynamics 672, Society for Economic Dynamics.
  198. Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
  199. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  200. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(1), pages 174-181, January.
  201. Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 28(4), pages 35-62.
  202. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, Elsevier, vol. 162(1), pages 55-70, May.
  203. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc.
  204. Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2013. "Bond returns and market expectations," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  205. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc.
  206. Lenz, Rainer, 2010. "Yield Curve Analysis: Choosing the optimal maturity date of investments and financing," MPRA Paper 27781, University Library of Munich, Germany.
  207. Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers, Federal Reserve Bank of Dallas 0811, Federal Reserve Bank of Dallas.
  208. Jan Bruha, 2011. "Retail Credit Premiums and Macroeconomic Developments," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 133-140 Czech National Bank, Research Department.
  209. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(3), pages 436-450, September.
  210. Joshua V. Rosenberg & Samuel Maurer, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Jul, pages 1-11.
  211. Dockner, Engelbert J. & Mayer, Manuel & Zechner, Josef, 2013. "Sovereign bond risk premiums," CFS Working Paper Series, Center for Financial Studies (CFS) 2013/28, Center for Financial Studies (CFS).
  212. Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers, Society for Economic Dynamics 12, Society for Economic Dynamics.
  213. Zhu, Xiaoneng, 2011. "A note on the predictability of excess bond returns and regime shifts," Finance Research Letters, Elsevier, Elsevier, vol. 8(2), pages 101-109, June.
  214. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, School of Economics and Management, University of Aarhus.
  215. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Sim Kee Boon Institute for Financial Economics CoFie-02-2011, Sim Kee Boon Institute for Financial Economics.
  216. David Jamieson Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Working Papers, Bank of Canada 06-48, Bank of Canada.
  217. Küçük, Ugur N., 2009. "Emerging Market Local Currency Bond Market, Too Risky to Invest?," MPRA Paper 21878, University Library of Munich, Germany.
  218. Caio Almeida & Jeremy J. Graveline & Scott Joslin, 2005. "Do Options Contain Information About Excess Bond Returns?," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2005-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.