Interest rates are very persistent. Modeling the persistent component of interest rates has
important consequence for forecasting. Factor models of the term structure are restricted …

Purpose The aim of this paper is to analyze how “mini-bonds,” an innovative financial tool for
Italian small and medium-sized enterprises (SMEs), can contribute to the development and …

I study the sufficiency of macroeconomic information to explain the time-variation in second
moments of stock and bond returns, with a particular attention to stock-bond correlations. I …

Financial economists have in recent times begun to analyze the reasons for and
determinants of the non-zero cross-currency basis swap spread, a measure of the extent of …

In recent times, there has been a renewed interest in covered interest parity deviations
wherein financial economists have begun to analyze the drivers of cross-currency basis …

This paper aims to present the long-run covariability between inflation and the interest rate
of the United Kingdom by using a new method developed by Müller and Watson (2018) that …

In this study, our objective is to empirically explore the relationship between demographic
variables and the returns of short-term treasury bills, long-term government bonds, and …

This paper proposes a semiparametric functional data model to estimate the impact of
demographic age distribution on interest rate term structure through an innovative functional …

Interest rates have declined dramatically over the past 30 years. At the same time the birth
rate has declined, and life expectancy has increased. Demographic changes leading to an …