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Modelling Term and Inflation Risk Premia in the South African Bond Market
A variety of approaches has been used to estimate the term premium of bond yields. Early attempts include linear regression models, such as those of Fama and Bliss (1987) and Cochrane and Piazzesi (2005), but these have been shown to be inconsistent and lacking in robustness (Kim and Orphanides (200...
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| Language: | English |
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Department of Finance and Tax
2023
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