risk premium

Significance of Risk Modeling in the Term Structure of Interest Rates, Applied Financial Economics, 17(3): 237-247 (JEL Listed) (2007, in common with S. Papadamou)

This paper examined the significance of risk modeling and asymmetries when researchers test the popular economic theories concerning the term structure of interest rates. A panel data set of returns on government bond portfolios was used and methods to account for related movements in risk premia across assets with different currency denomination were employed.

English