Browsing Faculté des arts et des sciences – Département de sciences économiques by Subject "Term structure of interest rates"
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Skewness risk and bond prices
(Université de Montréal. Département de sciences économiques., 2012-05)Statistical evidence is reported that even outside disaster periods, agents face negative consumption skewness, as well as positive inflation skewness. Quantitative implications of skewness risk for nominal loan contracts in a pure exchange economy ...