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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The journal of fixed income"
~subject:"Interest rate derivative"
~subject:"Prognoseverfahren"
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Interest rate derivative
Prognoseverfahren
Yield curve
173
Zinsstruktur
173
Theorie
80
Theory
80
USA
50
United States
50
Estimation
29
Schätzung
29
Risikoprämie
25
Risk premium
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CAPM
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Option pricing theory
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Optionspreistheorie
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Capital income
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Kapitaleinkommen
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Unternehmensanleihe
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Estimation theory
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Time series analysis
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Zeitreihenanalyse
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Forecasting model
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Volatility
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English
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Ho, Thomas S. Y.
2
Bali, Turan
1
Bandreddi, Santhosh
1
Bhansali, Vineer
1
Bierwag, Gerald O.
1
Brown, Rob
1
Clewlow, Les
1
Coroneo, Laura
1
Curtillet, Jean-Christophe
1
Das, Sanjiv R.
1
Eom, Young Ho
1
Fabozzi, Frank J.
1
Fan, Rong
1
Fang, Victor
1
Füss, Roland
1
Giannone, Domenico
1
Heidari, Massoud
1
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1
Ilmanen, Antti
1
In, Francis Haeuck
1
Jamshidian, Farshid
1
Kerkhof, Franciscus Lambertus Johannes
1
Klein, Daniel
1
Li, Junye
1
Martellini, Lionel
1
Modugno, Michele
1
Ngene, Geoffrey
1
Nikitina, Elena
1
Nikitina, Olena
1
Pagès, Henri
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Priaulet, Philippe
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1
Schwarzkopf, Yonathan
1
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1
Subrahmanyam, Marti G.
1
Sueppel, Ralph
1
Swanson, Norman R.
1
Tah, Kenneth A.
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of fixed income
International journal of theoretical and applied finance
29
Journal of forecasting
23
International journal of forecasting
21
The journal of futures markets
19
Economics letters
18
Journal of empirical finance
17
Journal of banking & finance
16
NBER working paper series
16
Applied financial economics
15
Journal of financial economics
15
Journal of international money and finance
15
The journal of computational finance
15
The review of financial studies
15
Finance and economics discussion series
14
NBER Working Paper
14
Working paper
14
International review of financial analysis
13
Journal of economic dynamics & control
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Discussion paper / Centre for Economic Policy Research
12
International review of economics & finance : IREF
12
Journal of econometrics
12
Staff reports / Federal Reserve Bank of New York
12
The journal of finance : the journal of the American Finance Association
12
Applied economics
11
Applied economics letters
10
Applied mathematical finance
10
International journal of financial engineering
10
Journal of money, credit and banking : JMCB
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
CREATES research paper
9
Discussion paper / Tinbergen Institute
9
Finance research letters
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
The North American journal of economics and finance : a journal of financial economics studies
9
Working paper / National Bureau of Economic Research, Inc.
9
Economic modelling
8
Federal Reserve Bank of Cleveland working paper series
8
Finance and stochastics
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ECONIS (ZBW)
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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
The variance risk premium : components, term structures, and stock return predictability
Li, Junye
;
Zinna, Gabriele
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 411-425
Persistent link: https://www.econbiz.de/10012249166
Saved in:
3
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:
4
Unspanned macroeconomic factors in the yield curve
Coroneo, Laura
;
Giannone, Domenico
;
Modugno, Michele
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
3
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011691663
Saved in:
5
Explaining yield curve dynamics
Füss, Roland
;
Nikitina, Olena
- In:
The journal of fixed income
21
(
2011
)
2
,
pp. 68-87
Persistent link: https://www.econbiz.de/10009349763
Saved in:
6
Forecasting recessions: the puzzle of the enduring power of the yield curve
Rudebusch, Glenn D.
;
Williams, John C.
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 492-503
Persistent link: https://www.econbiz.de/10003913423
Saved in:
7
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:
8
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:
9
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:
10
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
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