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  • Co-Movement, Spillovers and Excess Returns in Global Bond Markets 

    Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris (University of Glasgow, 2015-06-15)
    This paper investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in bond yields of seven advanced economies is due ...

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