Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
Author :
Publisher :
Total Pages :
Release :
ISBN-10 : OCLC:1155552196
ISBN-13 :
Rating : 4/5 ( Downloads)

Book Synopsis Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia by : Nikolaus Hautsch

Download or read book Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia written by Nikolaus Hautsch and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:


Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia Related Books

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
Language: en
Pages:
Authors: Nikolaus Hautsch
Categories:
Type: BOOK - Published: 2008 - Publisher:

GET EBOOK

The Yield Curve and Financial Risk Premia
Language: en
Pages: 320
Authors: Felix Geiger
Categories: Business & Economics
Type: BOOK - Published: 2011-08-17 - Publisher: Springer Science & Business Media

GET EBOOK

The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind th
The Price and Quantity of Interest Rate Risk
Language: en
Pages:
Authors: Jennifer N. Carpenter
Categories:
Type: BOOK - Published: 2021 - Publisher:

GET EBOOK

Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to
Yield Curve Modeling and Forecasting
Language: en
Pages: 223
Authors: Francis X. Diebold
Categories: Business & Economics
Type: BOOK - Published: 2013-01-15 - Publisher: Princeton University Press

GET EBOOK

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing f
Volatility and Jump Risk Premia in Emerging Market Bonds
Language: en
Pages: 32
Authors: John Matovu
Categories: Business & Economics
Type: BOOK - Published: 2007-07 - Publisher: International Monetary Fund

GET EBOOK

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps