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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:"Volatility"
~type_genre:"Article in journal"
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Search: subject_exact:"BGM model"
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Volatility
Yield curve
173
Zinsstruktur
173
Theorie
80
Theory
80
USA
50
United States
50
Estimation
29
Schätzung
29
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25
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Option pricing theory
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Optionspreistheorie
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Capital income
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Corporate bond
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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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11
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11
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Ho, Thomas S. Y.
2
Badak, Bransislav
1
Bali, Turan G.
1
Bhattacharjee, Ranjit
1
Carverhill, Andrew
1
Gonçalves, Franklin de O.
1
Goodman, Laurie Sharon
1
Ho, Jeffrey
1
Hull, John
1
Issler, João Victor
1
Koutmos, Gregory
1
Neftci, Salih N.
1
Pang, Kin
1
Russell, Robert A.
1
Smith, Daniel R.
1
White, Alan
1
Yi, Sang-bin
1
Zhang, Hua
1
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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
24
The journal of futures markets
24
International journal of theoretical and applied finance
17
Journal of financial economics
15
Journal of empirical finance
13
The review of financial studies
13
Journal of international money and finance
11
Economic modelling
10
Finance research letters
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Quantitative finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
Economics letters
9
Journal of financial and quantitative analysis : JFQA
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Applied financial economics
8
Applied mathematical finance
8
Energy economics
7
Journal of econometrics
7
The journal of computational finance
7
The journal of finance : the journal of the American Finance Association
7
International review of economics & finance : IREF
6
International review of financial analysis
6
Journal of international financial markets, institutions & money
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Asia-Pacific financial markets
5
Finance and stochastics
5
International journal of forecasting
5
Journal of money, credit and banking : JMCB
5
Macroeconomics and finance in emerging market economies
5
Review of derivatives research
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
4
International journal of finance & economics : IJFE
4
Journal of economics & business
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of risk and financial management : JRFM
4
Research in international business and finance
4
The European journal of finance
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ECONIS (ZBW)
11
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1
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:
2
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:
3
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
Saved in:
4
Interest rates : Normal or lognormal?
Ho, Jeffrey
;
Goodman, Laurie Sharon
- In:
The journal of fixed income
13
(
2003
)
2
,
pp. 33-45
Persistent link: https://www.econbiz.de/10001803145
Saved in:
5
Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 183-197
Persistent link: https://www.econbiz.de/10001660372
Saved in:
6
Estimating the term structure of interest rate volatility in extreme values
Bali, Turan G.
;
Neftci, Salih N.
- In:
The journal of fixed income
10
(
2001
)
4
,
pp. 7-14
Persistent link: https://www.econbiz.de/10001580717
Saved in:
7
Modeling short-term interest rate volatility : information shocks versus interest rate levels
Koutmos, Gregory
- In:
The journal of fixed income
9
(
2000
)
4
,
pp. 19-22
Persistent link: https://www.econbiz.de/10001495246
Saved in:
8
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John
;
White, Alan
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Saved in:
9
Dynamics of the short-term interest rate after the 1979 - 1982 monetary experiment
Zhang, Hua
- In:
The journal of fixed income
9
(
1999
)
3
,
pp. 35-41
Persistent link: https://www.econbiz.de/10001448116
Saved in:
10
Estimating the term structure of volatility and fixed-income derivative pricing
Gonçalves, Franklin de O.
- In:
The journal of fixed income
6
(
1996
)
1
,
pp. 32-39
Persistent link: https://www.econbiz.de/10001205427
Saved in:
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