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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The journal of fixed income"
~isPartOf:"The journal of futures markets"
~subject:"Zinsderivat"
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Search: subject_exact:"BGM model"
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Zinsderivat
Yield curve
231
Zinsstruktur
231
Theorie
93
Theory
93
USA
72
United States
71
Estimation
37
Schätzung
37
Volatility
34
Volatilität
34
Option pricing theory
30
Optionspreistheorie
30
Interest rate derivative
29
Risikoprämie
28
Risk premium
28
Public bond
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Öffentliche Anleihe
25
Government securities
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Zins
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CAPM
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Capital income
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Forecasting model
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Kapitaleinkommen
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Prognoseverfahren
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Derivat
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Derivative
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Corporate bond
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Unternehmensanleihe
17
Estimation theory
13
Schätztheorie
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Time series analysis
12
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29
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Chen, Son-nan
2
Ho, Thomas S. Y.
2
Lekkos, Ilias
2
Milas, Costas
2
Wu, Ting-pin
2
Akemann, Charles A.
1
Bali, Turan
1
Bandreddi, Santhosh
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Bhansali, Vineer
1
Bierwag, Gerald O.
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Brooks, Robert
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Clewlow, Les
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Das, Sanjiv R.
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Eom, Young Ho
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Fan, Longzhen
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Fan, Rong
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Fang, Victor
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Fehle, Frank
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Gurrola, Pedro
1
Heidari, Massoud
1
Herrerías, Renata
1
Hou, Xin
1
Hull, John
1
In, Francis Haeuck
1
Jamshidian, Farshid
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Kane, Alex
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Kerkhof, Franciscus Lambertus Johannes
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Klein, Daniel
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of fixed income
The journal of futures markets
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
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
Gabler Edition Wissenschaft
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IMF working papers
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ECONIS (ZBW)
29
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1
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
2
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
3
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
4
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:
5
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:
6
Stochastic skew in the interest rate cap market
Leung, Kwai S.
;
Ng, Hon Y.
;
Wong, Hoi Ying
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
Saved in:
7
A random field LIBOR market model
Wu, Tao L.
;
Xu, Shengqiang
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 580-606
Persistent link: https://www.econbiz.de/10010371410
Saved in:
8
Maturity effects in the Mexican interest rate futures market
Gurrola, Pedro
;
Herrerías, Renata
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10008908357
Saved in:
9
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:
10
Valuation of floating range notes in a LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 697-710
Persistent link: https://www.econbiz.de/10003715122
Saved in:
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