Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates

By Luis M. Viceira. 2012

127 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/41b24f2fc47ccb8a1f4c6371b76c7133b379c051

Citations in the corpus

• Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification (2016, unknown): “Viceira (2012) documents that the short rate and the term spread are both key det rminants of the stock-bond correlation.”
• Bootstrapping realized multivariate volatility measures (2010, unknown): “A well documented empirical fact in finance is the time variability of bonds risk, as recently documented by Viceira (2007) and Campbell, Sunderam and Viceira (2009) for the US market.”