---
title: Risk Premia in European Sovereign Bonds: The Information in Long-Term Rates
url: https://www.ml-quant.com/papers/ssrn/4606828/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4606828
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4606828
featured: 2023-10-25
citations: 0
topic: Asset Pricing & Factors
---


# Risk Premia in European Sovereign Bonds: The Information in Long-Term Rates

The research uses a stochastic volatility model to estimate risk premia for Germany, France, Italy, and the UK, finding that risk premia depend on stochastic volatility, not the yield curve's level and slope.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4606828
- Identifier: SSRN 4606828
- Released: 2023-10-19
- First featured: Quant Letter No. 23 (2023-10-25): https://www.ml-quant.com/issues/2023-10-25/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Asset Pricing & Factors

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