Bond Risk Premia and Gaussian Term Structure Models

Existing results show that (i) lagged forward rates help predict bond returns and (ii) modern Markovian dynamic term structure models (DTSMs) cannot match the evidence [Cochrane JH, Piazzesi M (2005) Bond risk premia. Amer. Econom. Rev. 95(1):138–160]. We develop the family of conditional mean DTSMs...

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Veröffentlicht in:	Management science 2018-03, Vol.64 (3), p.1413-1439
Hauptverfasser:	Feunou, Bruno, Fontaine, Jean-Sébastien
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond markets bond risk premium Bonds Kalman filters Market risk Mathematical models Rates of return term structure models unspanned risk Yield
Online-Zugang:	Volltext
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