Return seasonalities in government bonds and macroeconomic risk

DOI10.1016/J.ECONLET.2019.01.012zbMath1409.91245OpenAlexW2908811559WikidataQ128536782 ScholiaQ128536782MaRDI QIDQ1730182

Mateusz Mikutowski, Adam Zaremba, Andreas Karathanasopoulos

Publication date: 11 March 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.01.012

zbMATH Keywords

asset pricinggovernment bondscalendar anomaliesmacroeconomic riskreturn seasonality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

This page was built for publication: Return seasonalities in government bonds and macroeconomic risk