Risks and risk premia in the US Treasury market

DOI10.1016/j.jedc.2023.104788MaRDI QIDQ6556142

Junye Li, Gabriele Zinna, Lucio Sarno

Publication date: 17 June 2024

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

term structure modelsrisk-return trade-offbond risk premiummacro riskTreasury market

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The macroeconomy and the yield curve: a dynamic latent factor approach
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• No-arbitrage macroeconomic determinants of the yield curve
• Estimation of affine term structure models with spanned or unspanned stochastic volatility
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Error Bands for Impulse Responses
• Resolving the Spanning Puzzle in Macro-Finance Term Structure Models*
• MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS
• An Intertemporal Capital Asset Pricing Model
• Risk Premia and Volatilities in a Nonlinear Term Structure Model
• Time Varying Structural Vector Autoregressions and Monetary Policy

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