We investigate the yield spread between the sovereign bonds issued in international
markets by major Asia-Pacific issuers (China, Korea, Malaysia, Philippines and Thailand) …

Litterman et al.[Litterman, R., Scheinkman, J., Weiss, L., 1991. Volatility and the yield curve.
Journal of Fixed Income 1 (June), 49–53] and Engle and Ng [Engle, RF, Ng, VK, 1993. Time …

Multivariate Affine term structure models have been increasingly used for pricing derivatives
in fixed income markets. In these models, uncertainty of the term structure is driven by a state …

This paper investigates two important relationships using the sovereign issues made by
major Latin American economies in the international bond market: the determinants of credit …

Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide
relevant information when assessing dynamic risk in fixed income markets. We put forward a …

The present study investigates the yield spread between Thai government bonds issued in
the US domestic market ('Yankee'bonds) and US Treasury bonds, to determine the long …

Abstract Litterman, Scheinkman, and Weiss (1991) and Engle and Ng (1993) provide
empirical evidence of a relation between yield curve shape and volatility. This study offers …

We investigate the relationships between the sovereign bonds issued in international
markets by major Asia-Pacific issuers (China, Korea, Malaysia, Philippines and Thailand) …

O estudo analisa o efeito da Medida Provisória (MP) no 281, de 16 de fevereiro de 2006,
sobre a curva de juros brasileira. A MP reduziu a zero a alíquota do imposto sobre os …

Fixed income instruments as an asset class play an integral role in portfolios where they
substitute, or are held alongside, cash, stocks, and occasionally commodities. However, one …