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Why common factors in international bond returns are not so common · Study

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Why common factors in international bond returns are not so common

Christophe Pérignon, Daniel R. Smith, Christophe Villa

2007-02-22articleJournal of International Money and Finance54 citationsclosed

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Financial Markets and Investment Strategies Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1976The arbitrage theory of capital asset pricing

1991Common Factors Affecting Bond Returns

1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

2001Affine Term Structure Models and the Forward Premium Anomaly

2003Term Structure Dynamics in Theory and Reality

1958An Inter-Battery Method of Factor Analysis

1992Unobserved component time series models with Arch disturbances

1995Time-Varying Expected Returns in International Bond Markets

Cited by

2011Temporal evolution of financial-market correlations

2011Banking market integration in the SADC countries: evidence from interest rate analyses

Details

Year2007

Typearticle

VenueJournal of International Money and Finance

Languageen

Files0 public / 0

Identifiers

doi10.1016/j.jimonfin.2006.11.006

openalex_workW1513609809

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