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Bond risk, bond return volatility, and the term structure of interest rates


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

Cited by:

  1. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
  2. Skintzi, Vasiliki D., 2019. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
  3. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 617-642.
  4. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
  5. Aslanidis, Nektarios & Christiansen, Charlotte & Cipollini, Andrea, 2019. "Predicting bond betas using macro-finance variables," Finance Research Letters, Elsevier, vol. 29(C), pages 193-199.
  6. Nektarios Aslanidis & Charlotte Christiansen, 2017. "Flight to Safety from European Stock Markets," CREATES Research Papers 2017-38, Department of Economics and Business Economics, Aarhus University.
  7. repec:cuf:journl:y:2017:v:18:i:2:tong is not listed on IDEAS
  8. Yao, Haixiang & Li, Zhongfei & Chen, Shumin, 2014. "Continuous-time mean–variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 36(C), pages 244-251.
  9. Pun, Chi Seng, 2018. "Time-consistent mean-variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 75(C), pages 281-292.
  10. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Aug 2018.
  11. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015. "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, vol. 13(C), pages 10-16.
  12. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers wpn12-06, Warwick Business School, Finance Group.
  13. Chao, Shih-Wei, 2016. "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 10-26.
  14. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (US).
  15. Aslanidis, Nektarios & Christiansen, Charlotte, 2014. "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 321-331.
  16. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  17. Anatolyev, Stanislav & Baruník, Jozef, 2019. "Forecasting dynamic return distributions based on ordered binary choice," International Journal of Forecasting, Elsevier, vol. 35(3), pages 823-835.
  18. Favero, Carlo A. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
  19. Dovonon, Prosper & Gonçalves, Sílvia & Meddahi, Nour, 2013. "Bootstrapping realized multivariate volatility measures," Journal of Econometrics, Elsevier, vol. 172(1), pages 49-65.
  20. repec:eee:reveco:v:55:y:2018:i:c:p:285-294 is not listed on IDEAS
  21. Luis M. Viceira & Zixuan (Kevin) Wang, 2018. "Global Portfolio Diversification for Long-Horizon Investors," NBER Working Papers 24646, National Bureau of Economic Research, Inc.
  22. repec:cuf:journl:y:2017:v:18:i:1:tong is not listed on IDEAS
  23. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
  24. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
  25. Harumi Ohmi & Tatsuyoshi Okimoto, 2016. "Trends in stock-bond correlations," Applied Economics, Taylor & Francis Journals, vol. 48(6), pages 536-552, February.
  26. repec:eee:glofin:v:41:y:2019:i:c:p:60-78 is not listed on IDEAS
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.