The study of interest rate models and term structure analysis is central to understanding financial markets, underpinning the valuation of fixed income securities, derivatives, and risk management ...

This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure with standard macroeconomic aggregate relationships ...

This paper contributes novel insights into leverage-related risk factors in stock returns and highlights the significance of debt maturities and refinancing in understanding leverage effects within ...

Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific liquidity risk premia, this paper provides estimates of bond investors’ ...