On the factor structure of bond returns

DOI10.3982/ECTA17943MaRDI QIDQ5087294zbMATH OpenOpenAlexFDO

Authors Richard K. Crump, Nikolay Gospodinov

Publication date 11 July 2022

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta17943

zbMATH Keywords

bond returnseigenvectorsfactor spacelocal correlationprincipal componentsterm structure of interest rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Return seasonalities in government bonds and macroeconomic risk
• scientific article; zbMATH DE number 1031246 (Why is no real title available?)
• Correlations between stock returns and bond returns: income and substitution effects
• Return-predicting factors for US Treasuries: on the similarity of ``tents and ``bats
• Common risk factors in the returns on stocks and bonds
• Shape factors and cross-sectional risk
• Specification testing for conditional moment restrictions under local identification failure
• Dynamically consistent analysis of realized covariations in term structure models
• Spurious factors in data with local-to-unit roots
• Identification robust inference for the risk premium in term structure models

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