Expectations, Risk Premia and Information Spanning in Dynamic Term Structure Model Estimation

Expectations, Risk Premia and Information Spanning in Dynamic Term Structure Model Estimation
Author: Rodrigo GuimarĂ£es
Publisher:
Total Pages:
Release: 2014
Genre:
ISBN:


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Expectations, Risk Premia and Information Spanning in Dynamic Term Structure Model Estimation
Language: en
Pages:
Authors: Rodrigo GuimarĂ£es
Categories:
Type: BOOK - Published: 2014 - Publisher:

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Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
Language: en
Pages: 32
Authors: Qiang Dai
Categories: Bond yields - Forecasting
Type: BOOK - Published: 2001 - Publisher:

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Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory, ' we show that t
Speculation, Risk Premia and Expectations in the Yield Curve
Language: en
Pages: 58
Authors: Francisco Barillas
Categories: Bond market
Type: BOOK - Published: 2013 - Publisher:

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An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using d
Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
Language: en
Pages: 30
Authors: Qiang Dai
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we sho
Expectations Puzzle, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
Language: en
Pages: 32
Authors: Qiang Dai
Categories:
Type: BOOK - Published: 2001 - Publisher:

GET EBOOK

Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we sho