NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Robust Bond Risk Premia

Michael D. Bauer, James D. Hamilton

NBER Working Paper No. 23480
Issued in June 2017

---- Acknowledgments ----

We thank Anna Cieslak, John Cochrane, Greg Duffee, Graham Elliott, Robin Greenwood, Helmut Lutkepohl, Ulrich Muller, Hashem Pesaran and Glenn Rudebusch for useful suggestions, conference participants and discussants at the 7th Annual Volatility Institute Conference at the NYU Stern School of Business, the NBER Summer Institute 2015, the Federal Reserve System Macro Conference 2015 in Cleveland, the Federal Reserve Bank of San Francisco Fixed Income Research Conference 2015, the CESifo Conference on Macro, Money and International Finance 2016 in Munich, the Spring 2016 NBER Asset Pricing Workshop in Chicago, and the Western Finance Association Conference 2016 in Park City, as well as seminar participants at the Federal Reserve Bank of Boston, the Free University of Berlin, and the University of Hamburg for helpful comments, and Anh Le, Marcel Priebsch, Serena Ng, Robin Greenwood, Richard Priestley and Anna Cieslak for the data used in their papers. The views expressed herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of San Francisco or the National Bureau of Economic Research.

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