Existing results show that (i) lagged forward rates help predict bond returns and (ii) modern Markovian dynamic term structure models (DTSMs) cannot match the evidence [C[...]

Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markov[...]

We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good a[...]

We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainti[...]

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both [...]

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]

Foreign demand for Government of Canada (GoC) bonds has increased rapidly since the financial crisis. This sudden interest by foreigners in the GoC market is associated w[...]

Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well known result of Duffie[...]