Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

DOI10.1080/07350015.2018.1429278zbMATH Open1547.62755MaRDI QIDQ6626282FDOQ6626282

Peter Hördahl, Author name not available (Why is that?), Giorgio Valente

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Econometric Issues in the Analysis of Regressions with Generated Regressors
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Parameter estimation and bias correction for diffusion processes
• A joint econometric model of macroeconomic and term-structure dynamics

Cited In (1)

• Tests for Jumps in Yield Spreads

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