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Can we Exploit Predictability in Bond Markets? · Study

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PreprintCan we Exploit Predictability in Bond Markets?

Francisco Barillas2011

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Preprintgreen2011

Can we Exploit Predictability in Bond Markets?

Francisco Barillas

16 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 2000Specification Analysis of Affine Term Structure Models 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process

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2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

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2012International Bond Risk Premiaarticle · 14 shared references 2013Bond Pricing and the Macroeconomychapter · 14 shared references 2010Determinants of Bond Risk Premiapreprint · 14 shared references 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risksarticle · 13 shared references 2013Forecasting Interest Rateschapter · 13 shared references 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?preprint · 13 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1787567

openalex_workW2244391478

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