Risks and risk premia in the US Treasury market

DOI10.1016/J.JEDC.2023.104788MaRDI QIDQ6556142zbMATH OpenFDO

Authors Junye Li, Lucio Sarno, Gabriele Zinna

Publication date 17 June 2024

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

zbMATH Keywords

risk-return trade-offterm structure modelsbond risk premiummacro riskTreasury market

Mathematics Subject Classification ID

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

Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An Intertemporal Capital Asset Pricing Model
• Error Bands for Impulse Responses
• Estimation of affine term structure models with spanned or unspanned stochastic volatility
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Monetary policy uncertainty and economic fluctuations
• No-arbitrage macroeconomic determinants of the yield curve
• Resolving the spanning puzzle in macro-finance term structure models
• Risk premia and volatilities in a nonlinear term structure model
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Time Varying Structural Vector Autoregressions and Monetary Policy

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