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isPartOf:"Journal of monetary economics"
~isPartOf:"Applied financial economics"
~language:"eng"
~subject:"Estimation"
~subject:"Volatilität"
~type:"article"
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Search: subject_exact:"LIBOR market model"
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Estimation
Volatilität
Yield curve
140
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140
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41
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41
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40
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40
Monetary policy
32
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Journal of monetary economics
Applied financial economics
Journal of banking & finance
53
Journal of financial economics
36
Journal of international money and finance
35
International review of economics & finance : IREF
32
Journal of empirical finance
28
Applied economics
26
Finance research letters
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The journal of futures markets
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The review of financial studies
25
International journal of theoretical and applied finance
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Journal of financial and quantitative analysis : JFQA
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The journal of fixed income
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Applied economics letters
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Economic modelling
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The journal of finance : the journal of the American Finance Association
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International journal of finance & economics : IJFE
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The North American journal of economics and finance : a journal of financial economics studies
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Economics letters
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Journal of international financial markets, institutions & money
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Journal of economic dynamics & control
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International review of financial analysis
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Journal of econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Applied mathematical finance
11
International journal of forecasting
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Quantitative finance
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The European journal of finance
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Journal of risk and financial management : JRFM
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Energy economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Research in international business and finance
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Review of quantitative finance and accounting
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ECONIS (ZBW)
34
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1
Credit risk and the transmission of interest rate shocks
Palazzo, Berardino
;
Yamarthy, Ram
- In:
Journal of monetary economics
130
(
2022
),
pp. 120-136
Persistent link: https://www.econbiz.de/10013396267
Saved in:
2
Monetary policy surprises and their transmission through term premia and expected interest rates
Kaminska, Iryna
;
Mumtaz, Haroon
;
Šustek, Roman
- In:
Journal of monetary economics
124
(
2021
),
pp. 48-65
Persistent link: https://www.econbiz.de/10013274268
Saved in:
3
Monetary policy, bond returns and debt dynamics
Berndt, Antje
;
Yeltekin, Şevin
- In:
Journal of monetary economics
73
(
2015
),
pp. 119-136
Persistent link: https://www.econbiz.de/10011381760
Saved in:
4
Nonlinear adjustment between the Eonia and Euribor rates : a two-regime threshold cointegration analysis
Tamakoshi, Go
;
Hamori, Shigeyuki
- In:
Applied financial economics
24
(
2014
)
1/3
,
pp. 139-143
Persistent link: https://www.econbiz.de/10010391461
Saved in:
5
A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve
Steeley, James M.
- In:
Applied financial economics
24
(
2014
)
10/12
,
pp. 661-669
Persistent link: https://www.econbiz.de/10010402666
Saved in:
6
The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C.
- In:
Applied financial economics
24
(
2014
)
13/15
,
pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
Saved in:
7
Nonlinearity in the reaction of the foreign exchange market to interest rate differentials : evidence from a small open economy with a long-term peg
Jackman, Mahalia
;
Craigwell, Roland C.
;
Doyle-Lowe, Michelle
- In:
Applied financial economics
23
(
2013
)
4/6
,
pp. 287-296
Persistent link: https://www.econbiz.de/10009718935
Saved in:
8
New evidence of the expectation hypothesis of interest rates : a flexible nonlinear approach
Mili, Medhi
;
Sahut, Jean-Michel
;
Teulon, Fredéric
- In:
Applied financial economics
22
(
2012
)
1/3
,
pp. 165-176
Persistent link: https://www.econbiz.de/10009419561
Saved in:
9
Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki
;
Hamori, Shigeyuki
- In:
Applied financial economics
22
(
2012
)
10/12
,
pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
Saved in:
10
Estimating single factor jump diffusion interest rate models
Sorwar, Ghulam
- In:
Applied financial economics
21
(
2011
)
22/24
,
pp. 1679-1689
Persistent link: https://www.econbiz.de/10009385057
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