We find that augmenting a regression of excess bond returns on the term structure of forward
rates with an estimate of the mean realized jump size almost doubles the R2 of the …

We study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation
expectations and maturity-specific interest-rate cycles, which we define as variation in yields …

This paper studies whether the evident statistical predictability of bond risk premia translates
into economic gains for investors. We propose a novel estimation strategy for affine term …

Predictable variations in excess returns have often been attributed to the presence of time-
varying risk premia. In this paper, we use an insight based upon new techniques from time …

This article investigates the out-of-sample predictability of bond excess returns. We assess
the economic value of the forecasting ability of empirical models based on long-term forward …

Are there important cyclical fluctuations in bond market premiums and, if so, with what
macroeconomic aggregates do these premiums vary? We use the methodology of dynamic …

This paper examines the assumption of transition independence of the stochastic discount
factor (SDF) in the bond market. This assumption underlies the recovery result of. Following …

This paper explores the sources of variation in expected excess returns on bonds within a
Gaussian dynamic term structure model that:(i) conditions on information about output …

This paper revisits the study of time-varying excess bond returns in international bond
markets. Using newly available yield curve data from 10 different countries with independent …