Trojani, Fabio Cieslak, Anna 2011-06-03 This doctoral thesis focuses on fixed income markets exploring two essential questions in this area: (i) the risk compensation for holding Treasury bonds and (ii) the behavior of interest rate volatilities across different maturities. The objective is to understand the effect of changes in risk premia and in yield volatilities on bond prices, identify their economic drivers, and to propose new modeling approaches to accommodate these features. application/pdf https://susi.usi.ch/global/documents/318219 https://n2t.net/ark:/12658/srd1318219 https://susi.usi.ch/documents/318219/files/2011ECO002.pdf.pdf eng info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-110181 info:eu-repo/semantics/altIdentifier/ark/12658/srd1318219 info:eu-repo/semantics/openAccess License undefined Yield curve Interest rate volatility Term premia Return predictability Inflation expectations High-frequency data Matrix-valued stochastic processes info:eu-repo/classification/udc/33 Essays on the term structure of interest rates http://purl.org/coar/resource_type/c_db06