Macro-finance theory implies that trend inflation and the equilibrium real interest rate are
fundamental determinants of the yield curve. However, empirical models of the term …

This paper provides an overview of the analysis of the term structure of interest rates with a
special emphasis on recent developments at the intersection of macroeconomics and …

We investigate the relationship between uncertainty about monetary policy and its
transmission mechanism, and economic fluctuations. We propose a new term structure …

We develop a new framework for multivariate intertemporal portfolio choice that allows us to
derive optimal portfolio implications for economies in which the degree of correlation across …

Understanding the dynamic evolution of the yield curve is critical to many financial tasks,
including pricing financial assets and their derivatives, managing financial risk, allocating …

Realized volatility is a nonparametric ex-post estimate of the return variation. The most
obvious realized volatility measure is the sum of finely-sampled squared return realizations …

We document the phenomenon that average excess returns of out-of-the-money puts and
calls on bond futures are negative, both unconditionally and conditionally on economic …

Recent US Treasury yields have been constrained to some extent by the zero lower bound
(ZLB) on nominal interest rates. Therefore, we compare the performance of a standard affine …

Yield curve fluctuations across different currencies are highly correlated. This paper
investigates this phenomenon by exploring the channels through which macroeconomic …

We develop a discrete-time stochastic volatility option pricing model exploiting the
information contained in the Realized Volatility (RV), which is used as a proxy of the …