Journal Article

A Variance Decomposition of Index-Linked Bond Returns

  • Breedon F
SSRN Electronic Journal (2012)
DOI: 10.2139/ssrn.2092835
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Abstract

We undertake a variance decomposition of index-linked bond returns for the US, the UK and Iceland. In all cases, news about future excess returns is the key driver though only for Icelandic bonds are returns independent of inflation.

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APA

Breedon, F. (2012). A Variance Decomposition of Index-Linked Bond Returns. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2092835

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