Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Peter Hördahl"'
We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::303d4d1359414281777720168c08576a
https://doi.org/10.3386/w27500
https://doi.org/10.3386/w27500
Publikováno v:
Journal of Banking & Finance. 96:106-125
The sovereign debt crisis in the euro area saw credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. The rise in sovereign yields was accompanied by a significant increase in sovereign CDS market activi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bed580d95dd9bf15578556ad527359ec
https://doi.org/10.1016/j.jbankfin.2018.08.008
https://doi.org/10.1016/j.jbankfin.2018.08.008
Publikováno v:
SSRN Electronic Journal.
What explains the sharp movements of the yield curve upon the release of major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::793fc1187a1d57a0ad69a116d69fd637
https://doi.org/10.2139/ssrn.3091428
https://doi.org/10.2139/ssrn.3091428
Autor:
Peter Hördahl, Oreste Tristani
Publikováno v:
International Journal of Central Banking. 10(3):1-47
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation expectations in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::37485ad6bf9904ea07d8a4607eb1311e
http://www.ijcb.org/journal/ijcb14q3a1.htm
http://www.ijcb.org/journal/ijcb14q3a1.htm
Publikováno v:
Journal of Econometrics. 131:405-444
We construct and estimate a tractable model of macroeconomic and yield curve dynamics. Bond yields are affine in the state variables of a forward-looking macromodel, and are derived assuming absence of arbitrage opportunities. Our approach allows us
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::49afcee20cfb5bf95038bd2b01f95a46
https://doi.org/10.1016/j.jeconom.2005.01.012
https://doi.org/10.1016/j.jeconom.2005.01.012
Autor:
Peter Hördahl, Björn Hansson
Publikováno v:
The European Journal of Finance. 11:33-57
This paper estimates the conditional variance of daily Swedish OMX-index returns with stochastic volatility (SV) models and GARCH models and evaluates the in-sample performance as well as the out-of-sample forecasting ability of the models. Asymmetri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7637dbc47293c166b0980e89709dc1c6
https://doi.org/10.1080/1351847021000025803
https://doi.org/10.1080/1351847021000025803
Autor:
Björn Hansson, Peter Hördahl
Publikováno v:
Applied Financial Economics. 8:377-388
The relation between expected return and time varying risk on the Swedish stock market for the period 1977 to 1990 is examined. Using a parsimonious multivariate GARCH-M model, the conditional Sharpe - Lintner - Mossin CAPM is tested against six alte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79a499f9f86e7930a23085a198b94e61
https://doi.org/10.1080/096031098332916
https://doi.org/10.1080/096031098332916
Autor:
Björn Hansson, Peter Hördahl
Publikováno v:
The Scandinavian Journal of Economics. 99:335-350
Little is known about the differences in the relation between risk and return in large economies such as the U.S. compared with smaller, less studied, markets. In this paper, Sweden serves as a representative for small open economies. The price of ri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f7a8cbfac6a564b7d7f9e1b47d477a66
https://doi.org/10.1111/1467-9442.00066
https://doi.org/10.1111/1467-9442.00066
The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::54c27ab1d4cdc9b13061695484fd2ee1
http://www.bis.org/publ/work423.pdf
http://www.bis.org/publ/work423.pdf
Publikováno v:
BIS Quarterly Review.
This article examines whether short-run inflation expectations and indicators of long-term credibility have been affected by the great recession and by the policies to counter it. Measures of short-run expectations dropped in the crisis, particularly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::cc4d5016493d67f4a8ff24388e27c22e
http://www.bis.org/publ/qtrpdf/r_qt1103f.pdf
http://www.bis.org/publ/qtrpdf/r_qt1103f.pdf