On the public citation graph

Global Geopolitical Disaster Risk and Bond Risk Premia

https://doi.org/10.2139/ssrn.5737602
0 signed · 83 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-3932(88)90172-9openalex-snapshot
The equity risk premium a solution
inferredcites →https://doi.org/10.1016/0304-405x(86)90070-xopenalex-snapshot
Predicting returns in the stock and bond markets
inferredcites →https://doi.org/10.1016/b978-0-444-53683-9.00007-4openalex-snapshot
Forecasting Interest Rates
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.06.010openalex-snapshot
Bond risk premia and realized jump risk
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.11.012openalex-snapshot
World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.12.003openalex-snapshot
The coskewness puzzle
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.07.026openalex-snapshot
The impact of terrorism on financial markets: An empirical study
inferredcites →https://doi.org/10.1016/j.jbankfin.2017.10.006openalex-snapshot
Bid-to-cover and yield changes around public debt auctions in the euro area
inferredcites →https://doi.org/10.1016/j.jeconom.2006.05.023openalex-snapshot
Approximately normal tests for equal predictive accuracy in nested models
inferredcites →https://doi.org/10.1016/j.jeconom.2008.06.002openalex-snapshot
Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach
inferredcites →https://doi.org/10.1016/j.jeconom.2011.02.007openalex-snapshot
Do interest rate options contain information about excess returns?
inferredcites →https://doi.org/10.1016/j.jeconom.2014.02.009openalex-snapshot
Adaptive dynamic Nelson–Siegel term structure model with applications
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.011openalex-snapshot
The three-pass regression filter: A new approach to forecasting using many predictors
inferredcites →https://doi.org/10.1016/j.jeconom.2020.04.052openalex-snapshot
Real-time Bayesian learning and bond return predictability
inferredcites →https://doi.org/10.1016/j.jeconom.2022.09.008openalex-snapshot
Are bond returns predictable with real-time macro data?
inferredcites →https://doi.org/10.1016/j.jempfin.2016.02.001openalex-snapshot
The economic value of predicting bond risk premia
inferredcites →https://doi.org/10.1016/j.jempfin.2020.05.005openalex-snapshot
Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions
inferredcites →https://doi.org/10.1016/j.jfineco.2005.02.004openalex-snapshot
A consumption-based model of the term structure of interest rates☆
inferredcites →https://doi.org/10.1016/j.jfineco.2011.02.019openalex-snapshot
Time-varying rare disaster risk and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2013.04.004openalex-snapshot
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs
inferredcites →https://doi.org/10.1016/j.jfineco.2013.04.009openalex-snapshot
Pricing the term structure with linear regressions
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.009openalex-snapshot
Does realized skewness predict the cross-section of equity returns?
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.032openalex-snapshot
News implied volatility and disaster concerns
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.007openalex-snapshot
Time varying risk aversion
inferredcites →https://doi.org/10.1016/j.jfineco.2019.03.003openalex-snapshot
Average skewness matters
inferredcites →https://doi.org/10.1016/j.jfineco.2020.10.001openalex-snapshot
Rare disaster probability and options pricing
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.059openalex-snapshot
Reconstructing the yield curve
inferredcites →https://doi.org/10.1016/j.jimonfin.2014.11.004openalex-snapshot
Out-of-sample bond risk premium predictions: A global common factor
inferredcites →https://doi.org/10.1016/j.jinteco.2024.104005openalex-snapshot
Geopolitical risk perceptions
inferredcites →https://doi.org/10.1016/j.red.2024.101233openalex-snapshot
Real-time forward-looking skewness over the business cycle
inferredcites →https://doi.org/10.1016/s0304-3932(03)00032-1openalex-snapshot
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
inferredcites →https://doi.org/10.1017/s0022109017000369openalex-snapshot
Expected Business Conditions and Bond Risk Premia
inferredcites →https://doi.org/10.1017/s0022109022001429openalex-snapshot
International Yield Spillovers
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/261742openalex-snapshot
Evidence on Bidding Strategies and the Information in Treasury Bill Auctions
inferredcites →https://doi.org/10.1093/qje/qjs001openalex-snapshot
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-snapshot
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/restud/rdad080openalex-snapshot
Sources and Transmission of Country Risk
inferredcites →https://doi.org/10.1093/restud/rdz010openalex-snapshot
Uncertainty Shocks as Second-Moment News Shocks
inferredcites →https://doi.org/10.1093/rfs/hhae081openalex-snapshot
War Discourse and Disaster Premium: 160 Years of Evidence from the Stock Market
inferredcites →https://doi.org/10.1093/rfs/hhg010openalex-snapshot
Term Structure Dynamics in Theory and Reality
inferredcites →https://doi.org/10.1093/rfs/hhj019openalex-snapshot
The Behavior of Interest Rates
inferredcites →https://doi.org/10.1093/rfs/hhl021openalex-snapshot
Stock Return Predictability: Is it There?
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm025openalex-snapshot
Portfolio Performance Manipulation and Manipulation-proof Performance Measures
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhn087openalex-snapshot
Time-Varying Risk Premiums and the Output Gap
inferredcites →https://doi.org/10.1093/rfs/hhp081openalex-snapshot
Macro Factors in Bond Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhr033openalex-snapshot
Information in (and not in) the Term Structure
inferredcites →https://doi.org/10.1093/rfs/hhs069openalex-snapshot
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
inferredcites →https://doi.org/10.1093/rfs/hhs101openalex-snapshot
Realized Skewness
inferredcites →https://doi.org/10.1093/rfs/hhv032openalex-snapshot
Expected Returns in Treasury Bonds
inferredcites →https://doi.org/10.1093/rfs/hhw009openalex-snapshot
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory
inferredcites →https://doi.org/10.1093/rfs/hhx096openalex-snapshot
Robust Bond Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhx098openalex-snapshot
Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhy051openalex-snapshot
Short-Rate Expectations and Unexpected Returns in Treasury Bonds
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-snapshot
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1540-6261.00425openalex-snapshot
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-snapshot
Term Premia and Interest Rate Forecasts in Affine Models
inferredcites →https://doi.org/10.1111/j.1467-9868.2005.00503.xopenalex-snapshot
Regularization and Variable Selection Via the Elastic Net
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-snapshot
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01299.xopenalex-snapshot
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.1111/jmcb.13110openalex-snapshot
Geopolitical Risk and Investment
inferredcites →https://doi.org/10.1111/jofi.12018openalex-snapshot
Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
inferredcites →https://doi.org/10.1111/jofi.12041openalex-snapshot
International Stock Return Predictability: What Is the Role of the United States?
inferredcites →https://doi.org/10.1111/jofi.12131openalex-snapshot
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
inferredcites →https://doi.org/10.1111/jofi.12195openalex-snapshot
Inflation Risk in Corporate Bonds
inferredcites →https://doi.org/10.1111/jofi.13276openalex-snapshot
Interest Rate Skewness and Biased Beliefs
inferredcites →https://doi.org/10.1162/qjec.121.3.823openalex-snapshot
Rare Disasters and Asset Markets in the Twentieth Century*
inferredcites →https://doi.org/10.1162/rest_a_01390openalex-snapshot
Aggregate Skewness and the Business Cycle
inferredcites →https://doi.org/10.1257/0002828053828581openalex-snapshot
Bond Risk Premia
inferredcites →https://doi.org/10.1257/aer.102.6.2734openalex-snapshot
Disaster Risk and Business Cycles
inferredcites →https://doi.org/10.1257/aer.20191823openalex-snapshot
Measuring Geopolitical Risk
inferredcites →https://doi.org/10.1287/mnsc.2017.2829openalex-snapshot
Bond Return Predictability: Economic Value and Links to the Macroeconomy
inferredcites →https://doi.org/10.1287/mnsc.2020.3852openalex-snapshot
Unspanned Global Macro Risks in Bond Returns
inferredcites →https://doi.org/10.1287/mnsc.2021.4020openalex-snapshot
Scaled PCA: A New Approach to Dimension Reduction
inferredcites →https://doi.org/10.1287/mnsc.2021.4068openalex-snapshot
The Time Variation in Risk Appetite and Uncertainty
inferredcites →https://doi.org/10.1287/mnsc.2022.4328openalex-snapshot
Global Disaster Risk Matters
inferredcites →https://doi.org/10.1287/mnsc.2022.4386openalex-snapshot
Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance
inferredcites →https://doi.org/10.2307/2298008openalex-snapshot
Yield Spreads and Interest Rate Movements: A Bird's Eye View
inferredcites →https://doi.org/10.3386/w26565openalex-snapshot
Skewed Business Cycles
inferredcites →https://doi.org/10.3905/jfi.1991.692346openalex-snapshot
Volatility and the Yield Curve
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.