2017. "Robust bond risk premia." The Review of Financial Studies, 31(2): 399-448.Bauer, M. D. and Hamilton, J. D. (2015), `Robust Bond Risk Premia', Working paper .Bauer, M.D. & Hamilton, J.D. (2015). Robust bond risk premia. Federal Reserve Bank of San Francisco Working ...
Robust Bond Risk Premia Predictability Test in the Quantiles Different from existing literature on testing the macro-spanning hypothesis of bond risk premia, which only considers mean regressions, this paper investig... X Liao,X Li,Q Fan - 《Papers》 被引量: 0发表: 2024年 Risk Premia and ...
despite having a higher international bond allocation these Portfolios may have lower interest rate risk (duration) than a portfolio with a lower international bond allocation but managing to a higher duration index. They may also have the same level of interest rate risk!
despite having a higher international bond allocation these Portfolios may have lower interest rate risk (duration) than a portfolio with a lower international bond allocation but managing to a higher duration index. They may also have the same level of interest rate risk!
interest parity (UIP) condition:EteRoW,EA,t+1eRoW,EA,t1+iRoW,t=1+iEA,t+εEA,tbw+αEAbw0+αEAbw1eRoW,EA,tBEA,tbwPEA,tYYEA,twhere εEA,tbw captures a bond premium shock between EA and RoW (exchange rate shock), and αEAbw1 is a debt-dependent country risk premium on NFA ...
The traded securities include the risk-free rate, four stock-market factors (Fama and French (1992), Carhart (1997)) and two bond-market factors proxied, respectively, by: (i) the one-month T-bill (from Kenneth French’s website), denoted by RF, (ii) the excess return (in excess ...