Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models

scholarly journals Bond Risk Premia and Gaussian Term Structure Models

2018 ◽  
Vol 64 (3) ◽  
pp. 1413-1439 ◽  
Author(s):  
Bruno Feunou ◽  
Jean-Sébastien Fontaine
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia

2008 ◽  
Vol 40 (7) ◽  
pp. 1471-1488 ◽  
Author(s):  
MARCELLO PERICOLI ◽  
MARCO TABOGA
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk

scholarly journals Bond Risk Premia and Restrictions on Risk Prices

2018 ◽  
Vol 11 (4) ◽  
pp. 60 ◽  
Author(s):  
Constantino Hevia ◽  
Martin Sola
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Risk Premiums ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Bond Risk Premia ◽  
Measures Of Risk ◽  
Bond Risk

Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk premiums.

Gaussian Term Structure Models and Bond Risk Premia

2013 ◽  
Author(s):  
Bruno Feunou ◽  
Jean-Sebastien Fontaine
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk

scholarly journals Multi-Lag Term Structure Models with Stochastic Risk Premia

2007 ◽  
Author(s):  
Alain Monfort ◽  
Fulvio Pegoraro
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Stochastic Risk

scholarly journals Stochastic Correlation and Risk Premia in Term Structure Models

2011 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Stochastic Correlation

scholarly journals Stochastic correlation and risk premia in term structure models

2016 ◽  
Vol 37 ◽  
pp. 59-78 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy-Duong Tô
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Stochastic Correlation
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