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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:"Prognoseverfahren"
~subject:"Volatilität"
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Search: subject_exact:"BGM model"
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Prognoseverfahren
Volatilität
Yield curve
174
Zinsstruktur
174
Theorie
81
Theory
81
USA
50
United States
50
Estimation
30
Schätzung
30
Risikoprämie
26
Risk premium
26
Government securities
21
Public bond
21
Staatspapier
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Öffentliche Anleihe
21
CAPM
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Anleihe
19
Bond
19
Credit risk
18
Interest rate
18
Kreditrisiko
18
Zins
18
Option pricing theory
17
Optionspreistheorie
17
Interest rate derivative
16
Zinsderivat
16
Capital income
15
Kapitaleinkommen
15
Corporate bond
14
Unternehmensanleihe
14
Estimation theory
13
Schätztheorie
13
Time series analysis
12
Volatility
12
Zeitreihenanalyse
12
Forecasting model
11
Hypothek
10
Mortgage
10
Derivat
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English
23
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Ho, Thomas S. Y.
2
Badak, Bransislav
1
Bali, Turan
1
Bali, Turan G.
1
Bhattacharjee, Ranjit
1
Carverhill, Andrew
1
Coroneo, Laura
1
Curtillet, Jean-Christophe
1
Fabozzi, Frank J.
1
Füss, Roland
1
Giannone, Domenico
1
Gonçalves, Franklin de O.
1
Goodman, Laurie Sharon
1
Heidari, Massoud
1
Ho, Jeffrey
1
Hull, John
1
Ilmanen, Antti
1
Issler, João Victor
1
Klein, Daniel
1
Koutmos, Gregory
1
Li, Junye
1
Martellini, Lionel
1
Modugno, Michele
1
Neftci, Salih N.
1
Nikitina, Elena
1
Nikitina, Olena
1
Pang, Kin
1
Priaulet, Philippe
1
Reisman, Haim
1
Rudebusch, Glenn D.
1
Russell, Robert A.
1
Smith, Daniel R.
1
Sueppel, Ralph
1
Swanson, Norman R.
1
White, Alan
1
White, Halbert
1
Williams, John C.
1
Winkelmann, Lars
1
Wu, Liuren
1
Yao, Wenying
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of fixed income
Journal of banking & finance
28
NBER working paper series
27
The journal of futures markets
27
Journal of empirical finance
26
Journal of forecasting
25
International journal of forecasting
23
NBER Working Paper
23
Economics letters
22
Working paper / National Bureau of Economic Research, Inc.
22
International journal of theoretical and applied finance
21
Journal of international money and finance
21
The review of financial studies
19
Finance research letters
18
Journal of financial economics
18
Finance and economics discussion series
17
Journal of econometrics
17
Applied financial economics
16
Economic modelling
16
International review of economics & finance : IREF
16
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The North American journal of economics and finance : a journal of financial economics studies
15
Discussion paper / Centre for Economic Policy Research
14
Journal of money, credit and banking : JMCB
14
Staff reports / Federal Reserve Bank of New York
14
Journal of financial and quantitative analysis : JFQA
13
International review of financial analysis
12
Journal of economic dynamics & control
12
Research paper series / Swiss Finance Institute
12
Applied economics
11
Applied economics letters
11
CREATES research paper
11
Energy economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Working paper
11
Discussion paper / Tinbergen Institute
10
Journal of international financial markets, institutions & money
10
Quantitative finance
10
Applied mathematical finance
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
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ECONIS (ZBW)
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1
Tests for jumps in yield spreads
Winkelmann, Lars
;
Yao, Wenying
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 946-957
Persistent link: https://www.econbiz.de/10015053510
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
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:
4
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:
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
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:
9
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:
10
Volatility skew and the valuation of mortgages
Bhattacharjee, Ranjit
;
Badak, Bransislav
;
Russell, Robert A.
- In:
The journal of fixed income
16
(
2006
)
3
,
pp. 39-53
Persistent link: https://www.econbiz.de/10003422025
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