Risk Premia in European Sovereign Bonds: The Information in Long-Term Rates
The research uses a stochastic volatility model to estimate risk premia for Germany, France, Italy, and the UK, finding that risk premia depend on stochastic volatility, not the yield curve's level and slope.
Featured in No. 23 on 25 Oct 2023 · 6 days after release · 0 citations today
- Released
- 19 Oct 2023
- First featured
- No. 23 · 25 Oct 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4606828
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