G12 - Asset Pricing; Trading volume; Bond Interest Rates
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A Practical Guide to Swap Curve Construction
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure. -
Modelling Risk Premiums in Equity and Foreign Exchange Markets
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.