The time-varying bond risk premia in ChinaHan Zhang aBin Guo bLanbiao Liu b
We find that augmenting a regression of excess bond returns on the term structure of forward rates with an estimate of the mean realized jump size almost d... JH Wright,Z Hao - 《Journal of Banking & Finance》 被引量: 169发表: 2009年 Bond Risk Premia We study time variation in expected...
The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: A Panel Data Approach The expectations hypothesis of the term structure of interest rates implies that the spread between short and long bond yields should forecast next period'... RDF Harris - 《Discussion Papers》 被...
Foreign and domestic agents differ in their elasticity of inter temporal substitution and in their risk-aversion. A time-varying probability of a global disaster implies time-varying risk premia in asset markets, and therefore large and time-varying expected valuation effects on international asset ...
where h2t is the conditional variance, δ1r°t-1 is used to capture the possible autocorrelation in stock returns, and δ2ht captures the time-varying risk premium; ω3I(et-1<0) is used to describe the possible “leverage effect” in volatility. A vector autoregressive model of order q,...
things like that. But it's bad for bond markets because the deficits don't come down. But that's sort of a little bit simplistic. Because if you go back to 2016, when Trump was elected the first time, we didn't actually know at that time how aggressive he was going to be on tar...
US Bond 1.38% Commodity 0.33% Country Allocation % Allocation United States 64.41% Other 30.75% United Kingdom 2.11% Germany 0.97% Spain 0.74% Italy 0.63% Luxembourg 0.51% Bermuda 0.5% Belgium 0.37% Finland 0.26% Hong Kong 0.25% Netherlands 0.12% Singapore 0.08% South Korea 0.05% China 0.02%...
things like that. But it's bad for bond markets because the deficits don't come down. But that's sort of a little bit simplistic. Because if you go back to 2016, when Trump was elected the first time, we didn't actually know at that time how aggressive he was going to be on tar...
in both US and China. The quantile-based approach is also performed to offer a robustness check on tail dependence. The results show that all assets in the two countries have thick tails and tail dependence with time-varying features. The hedging effectiveness does decline during the COVID ...
Thus, the proposed approach provides new information on the impact of external factors on volatility spillovers in the Russian stock market. Keywords: stock markets; spillovers; conditional volatility spillovers; risk modelling; volatility models; graph; time series analysis; market networks...