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isPartOf:"The journal of futures markets"
~subject:"Schätzung"
~subject:"USA"
~subject:"Volatilität"
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Schätzung
USA
Volatilität
Interest rate derivative
139
Zinsderivat
139
United States
96
Public bond
56
Öffentliche Anleihe
56
Theorie
39
Theory
39
Hedging
37
Zins
28
Interest rate
27
Volatility
17
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17
Zinsstruktur
17
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16
Derivat
14
Derivative
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Government securities
14
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Currency derivative
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Währungsderivat
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Option pricing theory
9
Optionspreistheorie
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Commodity exchange
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Großbritannien
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United Kingdom
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110
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Hegde, Shantaram P.
4
Koch, Timothy W.
4
Arak, Marcelle V.
3
Bhattacharya, Anand K.
3
Gay, Gerald D.
3
Krehbiel, Timothy L.
3
Adkins, Lee Chester
2
Bali, Turan G.
2
Cakici, Nusret
2
Chatterjee, Sris
2
Goodman, Laurie Sharon
2
Hein, Scott E.
2
Hill, Joanne M.
2
Jordan, James V.
2
Kane, Alex
2
Kolb, Robert W.
2
Koppenhaver, Gary D.
2
Lekkos, Ilias
2
Livingston, Miles
2
Ma, Christopher K.
2
MacDonald, S. Scott
2
Marcus, Alan J.
2
Milas, Costas
2
Peterson, Richard Lewis
2
Schneeweis, Thomas
2
Sears, R. Stephen
2
Sultan, Jahangir
2
Wu, Tao L.
2
Akemann, Charles A.
1
Allen, Linda
1
Basistha, Arabinda
1
Batlin, Carl A.
1
Benninga, Simon
1
Blomeyer, Edward C.
1
Booth, G. Geoffrey
1
Bortz, Gary A.
1
Boyd, James C.
1
Brace, Alan
1
Branch, Ben Shirley
1
Brophy, David J.
1
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The journal of futures markets
Working paper / National Bureau of Economic Research, Inc.
150
Journal of money, credit and banking : JMCB
96
Applied economics
76
NBER working paper series
72
Discussion paper / Centre for Economic Policy Research
62
NBER Working Paper
62
Journal of banking & finance
61
Journal of macroeconomics
60
Finance and economics discussion series
58
Economic modelling
57
Applied financial economics
55
Journal of international money and finance
51
Economic review
49
CESifo working papers
45
Economics letters
44
The journal of finance : the journal of the American Finance Association
43
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
40
International review of economics & finance : IREF
38
The review of financial studies
38
Working paper
38
Journal of monetary economics
37
Working paper series / European Central Bank
37
Applied economics letters
36
The journal of real estate finance and economics
36
Journal of economics & business
35
The North American journal of economics and finance : a journal of financial economics studies
33
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
31
The journal of fixed income
30
Review / Federal Reserve Bank of St. Louis
28
International finance discussion papers
27
The review of economics and statistics
25
IMF working papers
24
ECB Working Paper
23
Economic inquiry : journal of the Western Economic Association International
23
Discussion paper
22
Discussion paper / Deutsche Bundesbank
22
Journal of economic dynamics & control
22
Journal of financial and quantitative analysis : JFQA
21
Discussion papers / CEPR
20
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ECONIS (ZBW)
110
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1
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10
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110
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date (oldest first)
1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
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
An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung
;
Lee, Yung-Hsin
;
Chao, Wan-Ling
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
Saved in:
4
Options on federal funds futures and interest rate volatility
Sultan, Jahangir
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 330-359
Persistent link: https://www.econbiz.de/10010218777
Saved in:
5
Multiscale stochastic volatility with the Hull-White rate of interest
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
;
Yu, Seok-Hyon
- In:
The journal of futures markets
34
(
2014
)
9
,
pp. 819-837
Persistent link: https://www.econbiz.de/10010507934
Saved in:
6
Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L.
- In:
The journal of futures markets
32
(
2012
)
8
,
pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
Saved in:
7
The zero lower bound and economic determinants of the volatility surface in the interest cap markets
Kim, Myeong Hyeon
;
Kim, Changki
;
Hwang, Injun
- In:
The journal of futures markets
37
(
2017
)
6
,
pp. 578-598
Persistent link: https://www.econbiz.de/10011950845
Saved in:
8
Foreign Central Bank activities in US futures markets
Fishe, Raymond P. H.
;
Robe, Michel A.
;
Smith, Aaron D.
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011567511
Saved in:
9
The sensitivity of interest rate options to monetary policy decisions : a regime-shift pricing approach
Ferland, René
;
Gauthier, Geneviève
;
Lalancette, Simon
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 66-87
Persistent link: https://www.econbiz.de/10011567568
Saved in:
10
Nonlinear asymmetric models of the short-term interest rate
Demirtas, K. Ozgur
- In:
The journal of futures markets
26
(
2006
)
9
,
pp. 869-894
Persistent link: https://www.econbiz.de/10003356477
Saved in:
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