Deconstructing the Yield Curve

Author:

Crump Richard K.,Gospodinov Nikolay

Publisher

Elsevier BV

Reference81 articles.

1. Pricing the Term Structure with Linear Regressions;T Adrian;Journal of Financial Economics,2013

2. Nonlinearity and Flight-to-Safety in the Risk-Return Trade-off for Stocks and Bonds;T Adrian;Journal of Finance,2019

3. Robust Bond Risk Premia

4. Correcting Estimation Bias in Dynamic Term Structure Models;M D Bauer;Journal of Business and Economic Statistics,2012

5. While we also have access to principal STRIPS data, we do not use these bond prices in our analysis. The principal STRIPS are traded at significantly higher prices than coupon STRIPS with identical characteristics;Daves and Ehrhardt,1993

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