Template-Type: ReDIF-Article 1.0 Author-Name: Imen Daoued Author-X-Name-First: Imen Author-X-Name-Last: Daoued Author-Name: Mohamed Imen Gallali Author-X-Name-First: Mohamed Imen Author-X-Name-Last: Gallali Title: The dynamic relationship between the bond and CDS markets of emerging countries: copula-GARCH Abstract: This paper examines the interaction between sovereign bond credit spreads (BS) and credit default swap (CDS) premiums. We use ARDL models to test whether there is a long-run equilibrium relationship between the variables, using daily data for the period October 2008 to November 2016 for 22 emerging market countries. To analyse the validity of the results of the Granger causality test, a test of the static copula model was applied to measure the interdependence of the variables. The empirical literature on copula and their use in financial dependence is extensive (see Joe et al., 2012), and they provide a new, alternative measurement technique. Journal: Int. J. of Bonds and Derivatives Pages: 281-307 Issue: 4 Volume: 4 Year: 2025 Keywords: ARDL-ECM; lead-lag; statics copula; sovereign bond credit SPREADS; CDS premiums; price discovery; emerging markets; flight to quality; basis CDS-BCS; positive basis; negative basis. File-URL: http://www.inderscience.com/link.php?id=148675 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2025:i:4:p:281-307 Template-Type: ReDIF-Article 1.0 Author-Name: Kritika Pancholi Author-X-Name-First: Kritika Author-X-Name-Last: Pancholi Author-Name: Ajay Trivedi Author-X-Name-First: Ajay Author-X-Name-Last: Trivedi Author-Name: Vandana Lakhotia Ladha Author-X-Name-First: Vandana Lakhotia Author-X-Name-Last: Ladha Title: Green bonds in focus: bridging literacy and investment among retail investors Abstract: This study examines the influence of green bond awareness and comprehension on the investment decisions of Indian retail investors and its alignment with sustainable development goals. Utilising a mixed-methods approach, the research combines quantitative survey data analysis and qualitative article content analysis in SPSS to assess investor awareness and inclination towards green bond investments. Findings reveal that financial literacy mitigates behavioural biases, showing a positive correlation between awareness and investment in green bonds. Risk perception and trust in green bond credibility are key influencers. Financial literacy is pivotal in promoting green bond investments among Indian retail investors, suggesting the need for educational programs and policy innovations to enhance the green bond market. Further exploration of these dynamics is recommended. Journal: Int. J. of Bonds and Derivatives Pages: 308-342 Issue: 4 Volume: 4 Year: 2025 Keywords: green bonds; GBs; Indian retail investors; behavioural finance; financial literacy; sustainable development goals; SDGs. File-URL: http://www.inderscience.com/link.php?id=148687 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2025:i:4:p:308-342 Template-Type: ReDIF-Article 1.0 Author-Name: Zrinka Orlovic Author-X-Name-First: Zrinka Author-X-Name-Last: Orlovic Author-Name: Jura Jurcevic Author-X-Name-First: Jura Author-X-Name-Last: Jurcevic Author-Name: Davor Zoricic Author-X-Name-First: Davor Author-X-Name-Last: Zoricic Title: Forecasting the yield curve for the Eurozone and USA using standard methods and machine learning approach Abstract: This paper investigates forecasting yield curve parameters using the Svensson model for the Eurozone and US markets, applying random walk, autoregressive, vector autoregression, and random forest models. Forecast accuracy was assessed using root mean square error over 1-day, 6-day, and 12-day horizons, and performance was compared using the Diebold-Mariano test. Results indicate that the random walk model consistently provided the most accurate forecasts, particularly for the level and slope of the yield curve. Autoregressive and vector autoregression models performed well for short-term forecasts, while random forest showed mixed results with competitive accuracy in certain cases but higher overall errors. The Diebold-Mariano test confirmed the superiority of the random walk model, especially for longer-term forecasts. Overall, random walk is a robust base model for longer-term forecasts, while other models contribute to short-term predictions, with random forest showing potential for further improvement. Journal: Int. J. of Bonds and Derivatives Pages: 343-358 Issue: 4 Volume: 4 Year: 2025 Keywords: yield curve; Svensson model; random forest; machine learning; random walk; autoregressive model; vector autoregression model; forecasting; Eurozone; USA; Diebold-Mariano test. File-URL: http://www.inderscience.com/link.php?id=148693 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2025:i:4:p:343-358 Template-Type: ReDIF-Article 1.0 Author-Name: Georgina Onuma Kalu Author-X-Name-First: Georgina Onuma Author-X-Name-Last: Kalu Author-Name: Dennis Ikpe Author-X-Name-First: Dennis Author-X-Name-Last: Ikpe Author-Name: Ben Ifeanyichukwu Oruh Author-X-Name-First: Ben Ifeanyichukwu Author-X-Name-Last: Oruh Title: Pricing longevity bonds using a generalised Vasicek term structure model with correlated mortality and interest rates Abstract: Longevity risk, defined as the possibility that individuals live longer than anticipated, presents substantial challenges for pension funds and annuity providers. This risk can increase financial liabilities, as the actual pay out obligations may exceed initial projections. To address this issue, this study proposes a novel pricing approach for zero-coupon longevity bonds. The methodology employs a generalised Vasicek term structure model, effectively capturing the intricate relationship between mortality and interest rates. This model extends the classical one-factor affine Vasicek framework by jointly modelling the dynamics of the instantaneous forward mortality rate and the instantaneous interest rate within a state space context. The application of this model allows for more accurate pricing of longevity bonds, facilitating better risk management for pension funds and annuity providers. By accounting for the correlation between mortality and interest rates, the findings underscore the importance of sophisticated modelling techniques in managing longevity risk. The results indicate that traditional methods may inadequately capture the complexities involved in pricing longevity-linked securities. This research contributes to the ongoing discourse on effective strategies for mitigating longevity risk in financial markets, thereby supporting pension funds and annuity providers in their efforts to ensure financial stability. Journal: Int. J. of Bonds and Derivatives Pages: 359-381 Issue: 4 Volume: 4 Year: 2025 Keywords: zero-coupon longevity bond; longevity risk; pension fund; annuity providers; financial liabilities. File-URL: http://www.inderscience.com/link.php?id=148703 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2025:i:4:p:359-381