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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Gabler Edition Wissenschaft"
~isPartOf:"The journal of fixed income"
~subject:"Zinsderivat"
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Search: subject_exact:"BGM model"
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Zinsderivat
Yield curve
182
Zinsstruktur
182
Theorie
88
Theory
88
USA
51
United States
51
Estimation
34
Schätzung
34
Risikoprämie
26
Risk premium
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Anleihe
22
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Credit risk
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Option pricing theory
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Optionspreistheorie
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Interest rate derivative
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Interest rate
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Zins
18
Estimation theory
15
Schätztheorie
15
Capital income
14
Corporate bond
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Kapitaleinkommen
14
Unternehmensanleihe
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Forecasting model
12
Prognoseverfahren
12
Time series analysis
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Volatility
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Volatilität
12
Zeitreihenanalyse
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Derivat
10
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Ho, Thomas S. Y.
2
Bali, Turan
1
Bandreddi, Santhosh
1
Bardenhewer, Martin Maria
1
Bhansali, Vineer
1
Bierwag, Gerald O.
1
Brown, Rob
1
Clewlow, Les
1
Curtillet, Jean-Christophe
1
Das, Sanjiv R.
1
Eom, Young Ho
1
Fan, Rong
1
Fang, Victor
1
Heidari, Massoud
1
Heitmann, Frank
1
Hull, John
1
In, Francis Haeuck
1
Jamshidian, Farshid
1
Kerkhof, Franciscus Lambertus Johannes
1
Klein, Daniel
1
Ngene, Geoffrey
1
Nikitina, Elena
1
Pagès, Henri
1
Schulze, Michael
1
Schwarzkopf, Yonathan
1
Strickland, Chris
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Subrahmanyam, Marti G.
1
Swanson, Norman R.
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Tah, Kenneth A.
1
Uno, Jun
1
White, Alan
1
White, Halbert
1
Wise, Mark B.
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Wu, Liuren
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Gabler Edition Wissenschaft
The journal of fixed income
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Journal of financial economics
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
Discussion paper / B
6
International review of financial analysis
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
SFB 649 discussion paper
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Asia-Pacific financial markets
3
Bonn Econ Discussion Papers / BGSE
3
IMF working papers
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ECONIS (ZBW)
19
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1
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10
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19
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1
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
2
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
3
Predictability of interest rates and interest-rate portfolios
Bali, Turan
;
Heidari, Massoud
;
Wu, Liuren
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 517-527
Persistent link: https://www.econbiz.de/10003913431
Saved in:
4
Modeling swap spreads in normal and stressed environments
Bhansali, Vineer
;
Schwarzkopf, Yonathan
;
Wise, Mark B.
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
Saved in:
5
Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y.
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
Saved in:
6
Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
Saved in:
7
Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh
;
Das, Sanjiv R.
;
Fan, Rong
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 38-56
Persistent link: https://www.econbiz.de/10003687357
Saved in:
8
Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
Saved in:
9
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
Saved in:
10
Modeling the determinants of swap spreads
Brown, Rob
;
In, Francis Haeuck
;
Fang, Victor
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 29-40
Persistent link: https://www.econbiz.de/10001725696
Saved in:
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