We construct a news sentiment index at the firm level by using textual analysis of news
articles and find that dispersion in news sentiment is a significant predictor of corporate bond …

In this paper, we propose a new method called the total variance method and algorithms to
compute and analyse variance decomposition for nonlinear economic models. We provide …

We address the estimation of stochastic volatility demand systems. In particular, we relax the
homoscedasticity assumption and instead assume that the covariance matrix of the errors of …

The classification procedure based on the K-means method with an unknown number of
classes first proposed by professor Sergey Aivazian is designed and investigated in the article. …

This paper aims at rationalizing major shifts in term premia for the US Treasury securities
since 1961 and an upward sloping yield curve after 2000. To this end, we build and estimate a …

We present a new theoretical model that sheds light on why CDO tranche spreads widen
during credit crunch periods. In the model, firms’ risk taking is endogenous and credit ratings …

This article examines the impact of firm-level political risk on the value of creditor control,
which is measured as the premium difference in the bond price and an equivalent synthetic …

The paper explores a suitability of higher education quality measurement from student’s
point of view, and analyses results of interviewing of students from engineering specialties in …

This paper presents a new approach to model US inflation dynamics by allowing regime
switching in an unobserved components stochastic volatility framework. We use a modified …

The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies
on bond instruments of all types—investment grade, high-yield, municipals, ABS and MBS…