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An investigation of bond term premia in international government bond indices

  • Halkos, George E.
  • Papadamou, Stephanos T.

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File URL: http://www.sciencedirect.com/science/article/B7CPK-4GK1GRP-1/2/af1f26a0c2440accbdff6101d1e65bf1
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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 20 (2006)
Issue (Month): 1 (March)
Pages: 45-61

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Handle: RePEc:eee:riibaf:v:20:y:2006:i:1:p:45-61
Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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  1. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
  2. Campbell, John Y & Shiller, Robert J, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 495-514, May.
  3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  4. John Y. Campbell & Richard H. Clarida, 1985. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Cowles Foundation Discussion Papers 772R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  5. Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December.
  6. Allan D. Brunner & David P. Simon, 1995. "Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach," International Finance Discussion Papers 522, Board of Governors of the Federal Reserve System (U.S.).
  7. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-71, December.
  8. David K. Backus & Allan W. Gregory & Stanley E. Zin, 1986. "Risk Premiums in the Term Structure : Evidence from Artificial Economies," Working Papers 665, Queen's University, Department of Economics.
  9. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
  10. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  11. Simon, David P., 1989. "Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 357-365, September.
  12. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-152, Summer.
  13. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
  14. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  15. Richardson, Matthew & Richardson, Paul & Smith, Tom, 1992. "The monotonicity of the term premium *1: Another look," Journal of Financial Economics, Elsevier, vol. 31(1), pages 97-105.
  16. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  17. Elton, Edwin J. & Gruber, Martin J. & Mei, Jianping, 1996. "Return generating process and the determinants of term premiums," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1251-1269, August.
  18. Longstaff, Francis A & Schwartz, Eduardo S, 1992. " Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-82, September.
  19. Jones, David S. & Vance Roley, V., 1983. "Rational expectations and the expectations model of the term structure : A test using weekly data," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 453-465, September.
  20. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
  21. Chesney, Marc & Scott, Louis, 1989. "Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 267-284, September.
  22. Fama, Eugene F., 1984. "Term premiums in bond returns," Journal of Financial Economics, Elsevier, vol. 13(4), pages 529-546, December.
  23. Matthew Richardson & Paul Richardson & Tom Smith, . "The Monotonicity of the Term Premium: Another Look (Reprint 026)," Rodney L. White Center for Financial Research Working Papers 3-92, Wharton School Rodney L. White Center for Financial Research.
  24. N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
  25. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
  26. Levy, Haim & Brooks, Robert, 1989. "An empirical analysis of term premiums using stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 245-260, May.
  27. Lauterbach, Beni, 1989. "Consumption volatility, production volatility, spot-rate volatility, and the returns on treasury bills and bonds," Journal of Financial Economics, Elsevier, vol. 24(1), pages 155-179, September.
  28. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  29. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers 667, Cowles Foundation for Research in Economics, Yale University.
  30. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  31. Hall, Stephen G & Miles, David K, 1992. "Measuring Efficiency and Risk in the Major Bond Markets," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 599-625, October.
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