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Article

Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market

1
Institute of Business & Information Technology, University of the Punjab, Lahore 54000, Pakistan
2
College of Business, Law & Governance, James Cook University, Townsville 4811, Australia
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2021, 9(1), 3; https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010003
Received: 7 September 2020 / Revised: 14 December 2020 / Accepted: 17 December 2020 / Published: 4 January 2021
(This article belongs to the Special Issue Alternative Models and Methods in Financial Economics)
The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful for the agents’ strategic policy decision making in global bond markets. View Full-Text
Keywords: Keywords; asymmetric volatility; risk premium; partial co-volatility spillovers; bond market; JEL Classification; G1; C40; C13; C18 Keywords; asymmetric volatility; risk premium; partial co-volatility spillovers; bond market; JEL Classification; G1; C40; C13; C18
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MDPI and ACS Style

Aftab, H.; Beg, A.B.M.R.A. Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. Int. J. Financial Stud. 2021, 9, 3. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010003

AMA Style

Aftab H, Beg ABMRA. Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. International Journal of Financial Studies. 2021; 9(1):3. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010003

Chicago/Turabian Style

Aftab, Hira, and A. B.M.R.A. Beg 2021. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market" International Journal of Financial Studies 9, no. 1: 3. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010003

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