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isPartOf:"The journal of real estate finance and economics"
~isPartOf:"Bank of England Working Paper"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Staff working papers / Bank of England"
~subject:"United Kingdom"
~subject:"Yield curve"
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The journal of real estate finance and economics
Bank of England Working Paper
Journal of financial and quantitative analysis : JFQA
Mathematical finance : an international journal of mathematics, statistics and financial theory
Staff working papers / Bank of England
International journal of theoretical and applied finance
12
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International review of financial analysis
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International review of economics & finance : IREF
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ECONIS (ZBW)
22
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1
An anatomy of the 2022 gilt market crisis
Pinter, Gabor
-
2023
Persistent link: https://www.econbiz.de/10014330112
Saved in:
2
No-arbitrage pricing of GDP-linked bonds
Eguren-Martin, Fernando
;
Meldrum, Andrew
;
Yan, Wen
-
2020
Persistent link: https://www.econbiz.de/10012202970
Saved in:
3
Estimating Nominal Interest Rate Expectations : Overnight Indexed Swaps and the Term Structure
Lloyd, Simon
-
2019
No-arbitrage dynamic term structure models (DTSMs) have regularly been used to estimate interest rate expectations and term premia, but are beset by an identification problem that results in inaccurate estimates. I propose the augmentation of DTSMs with overnight indexed swap (OIS) rates to...
Persistent link: https://www.econbiz.de/10012897567
Saved in:
4
Estimating nominal interest rate expectations : overnight indexed swaps and the term structure
Lloyd, Simon P.
-
2018
Persistent link: https://www.econbiz.de/10011926163
Saved in:
5
Dividend risk premia
Cejnek, Georg
;
Randl, Otto
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
4
,
pp. 1199-1242
Persistent link: https://www.econbiz.de/10012244219
Saved in:
6
The informational content of market-based measures of inflation expectations derived from government bonds and inflation swaps in the United Kingdom
Liu, Zhuoshi
;
Vangelista, Elisabetta
;
Kaminska, Iryna
; …
-
2015
Persistent link: https://www.econbiz.de/10011402735
Saved in:
7
The Informational Content of Market-Based Measures of Inflation Expectations Derived from Government Bonds and Inflation Swaps in the United Kingdom
Liu, Zhuoshi
-
2015
Market-based measures of inflation expectations can be derived either from the difference between yields on nominal and inflation-linked government bonds or from inflation swap rates. These measures are important indicators of the outlook for inflation and are monitored regularly by the United...
Persistent link: https://www.econbiz.de/10013014543
Saved in:
8
The term structure of expected recovery rates
Doshi, Hitesh
;
Elkamhi, Redouane
;
Ornthanalai, Chayawat
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
6
,
pp. 2619-2661
Persistent link: https://www.econbiz.de/10012128871
Saved in:
9
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
10
Risk premia and the VIX term structure
Johnson, Travis L.
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
6
,
pp. 2461-2490
Persistent link: https://www.econbiz.de/10011929346
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