A factor analysis of bond risk premia
Language: en
Pages: 28

A factor analysis of bond risk premia

Authors: Sydney C. Ludvigson
Categories: Bonds
Type: BOOK - Published: 2009 - Publisher:

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This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthl
Analysis of Bond Risk Premia
Language: en
Pages: 0

Analysis of Bond Risk Premia

Authors: Lukas Wäger
Categories:
Type: BOOK - Published: 2012 - Publisher:

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The focus of this thesis is on bond return predictability and providing an empirical and economic understanding of bond risk premia. The thesis consists of an e
Macro Factors in Bond Risk Premia
Language: en
Pages: 22

Macro Factors in Bond Risk Premia

Authors: Sydney C. Ludvigson
Categories: Bonds
Type: BOOK - Published: 2005 - Publisher:

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Empirical evidence suggests that excess bond returns are forecastable by financial indicators such as forward spreads and yield spreads, a violation of the expe
Empirical Dynamic Asset Pricing
Language: en
Pages: 497

Empirical Dynamic Asset Pricing

Authors: Kenneth J. Singleton
Categories: Business & Economics
Type: BOOK - Published: 2009-12-13 - Publisher: Princeton University Press

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Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of
A Beta Based Framework for Lower Bond Risk Premia
Language: en
Pages: 68

A Beta Based Framework for Lower Bond Risk Premia

Authors: Stefano Nobili
Categories: Government securities
Type: BOOK - Published: 2008 - Publisher:

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