Peter Spencer

University of York

Heslington

York, YO1 5DD

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

451

CITATIONS
Rank 45,234

SSRN RANKINGS

Top 45,234

in Total Papers Citations

3

Scholarly Papers (7)

1.

Dynamic Bond Portfolio Choice with Macroeconomic Information

EFA 2009 Bergen Meetings Paper
Number of pages: 61 Posted: 01 Feb 2009 Last Revised: 19 Aug 2009
Alexandros Kostakis and Peter Spencer
University of Manchester - Manchester Business School and University of York
Downloads 175 (133,890)

Abstract:

2.

Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities

Number of pages: 43 Posted: 19 Mar 2006
Renatas Kizys and Peter Spencer
University of York and University of York
Downloads 144 (159,401)
Citation 2

Abstract:

Asset pricing, Risk premium, Macroeconomic volatility, Stochastic discount factor model, Multivariate EGARCH-M model

3.

The Advantages of Using Excess Returns to Model the Term Structure

Number of pages: 60 Posted: 07 Nov 2012 Last Revised: 20 Jan 2015
Adam Golinski and Peter Spencer
University of York and University of York
Downloads 19 (303,096)

Abstract:

term structure, Meiselman regression, forward rate revision, Wold representation, long memory

4.

Optimal Control of Heteroskedastic Macroeconomic Moldes

Number of pages: 59 Posted: 21 Aug 2014
Vito Polito and Peter Spencer
University of Bath and University of York
Downloads 15 (363,464)

Abstract:

Heteroscedasticity, Optimal Control, Macroeconomic Volatility, Optimal Monetery Policy.

5.

Overseas Unspanned Factors and Domestic Bond Returns

Bank of England Working Paper No. 618
Number of pages: 57 Posted: 21 Feb 2017
Andrew Meldrum, Marek Raczko and Peter Spencer
Independent, Bank of England and University of York
Downloads 14 (469,166)

Abstract:

return-forecasting regressions, dynamic term structure models

6.

An Admissible Macro-Finance Model of the US Treasury Market

Multinational Finance Journal, Vol. 13, No. 1/2, p. 1-38, 2009
Number of pages: 38 Posted: 26 Jun 2015
Peter Spencer
University of York
Downloads 5 (503,676)
Citation 1

Abstract:

7.

UK Macroeconomic Volatility and the Term Structure of Interest Rates

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 3, pp. 323-339, 2013
Number of pages: 17 Posted: 13 Apr 2013
Peter Spencer
University of York
Downloads 1 (536,249)

Abstract: