On the factor structure of bond returns

DOI10.3982/ECTA17943zbMATH Open1492.91394OpenAlexW4206943042MaRDI QIDQ5087294FDOQ5087294

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

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zbMATH Keywords

principal componentseigenvectorsterm structure of interest rateslocal correlationfactor spacebond returns

Mathematics Subject Classification ID

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

Cited In (7)

• Return-predicting factors for US Treasuries: on the similarity of ``tents and ``bats
• Correlations between stock returns and bond returns: income and substitution effects
• Shape factors and cross-sectional risk
• Return seasonalities in government bonds and macroeconomic risk
• Specification testing for conditional moment restrictions under local identification failure
• Title not available (Why is that?)
• Common risk factors in the returns on stocks and bonds

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