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Short and Long Horizon Term and Inflation Risk Premia in the US Term Structure: Evidence from an Integrated Model for Nominal and Real Bond Prices under Regime Shifts

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  • PIETRO VERONESI
  • FRANCIS YARED

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  • Pietro Veronesi & Francis Yared, 1999. "Short and Long Horizon Term and Inflation Risk Premia in the US Term Structure: Evidence from an Integrated Model for Nominal and Real Bond Prices under Regime Shifts," CRSP working papers 508, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  • Handle: RePEc:wop:chispw:508
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    File URL: http://gsbwww.uchicago.edu/fac/finance/papers/rbond.pdf
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    Cited by:

    1. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
    2. Renne, Jean-Paul, 2013. "Regime switching in bond yield and spread dynamics," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13651 edited by Monfort, Alain, August.
    3. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44 Edward Elgar Publishing.
    4. Pietro Veronesi, "undated". "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    5. Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1243-1274, July.
    6. repec:wsi:ijtafx:v:14:y:2011:i:02:n:s0219024911006358 is not listed on IDEAS

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