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person:"Fridson, Martin S."
~person:"Agliardi, Rossella"
~person:"Collin-Dufresne, Pierre"
~subject:"Kapitaleinkommen"
~subject:"Kreditrisiko"
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Fridson, Martin S.
Agliardi, Rossella
Collin-Dufresne, Pierre
Fabozzi, Frank J.
12
McMillan, David G.
10
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9
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8
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ECONIS (ZBW)
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1
Green securitisation
Agliardi, Rossella
- In:
Journal of sustainable finance & investment
12
(
2022
)
4
,
pp. 1330-1345
Persistent link: https://www.econbiz.de/10013415693
Saved in:
2
ESG impact on high-yield returns
Fridson, Martin S.
;
Jiang, Lu
;
Mei, Zhiyuan
;
Navaei, Daniel
- In:
The journal of fixed income : JFI
30
(
2021
)
4
,
pp. 53-63
Persistent link: https://www.econbiz.de/10012517180
Saved in:
3
Pricing climate-related risks in the bond market
Agliardi, Elettra
;
Agliardi, Rossella
- In:
Journal of financial stability
54
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012794081
Saved in:
4
Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre
-
2006
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the...
Persistent link: https://www.econbiz.de/10012783833
Saved in:
5
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre
-
2004
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the...
Persistent link: https://www.econbiz.de/10012467934
Saved in:
6
Can interest rate volatility be extracted from the cross section of bond yields?
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
;
Jones, …
- In:
Journal of financial economics
94
(
2009
)
1
,
pp. 47-66
Persistent link: https://www.econbiz.de/10003891547
Saved in:
7
Can interest rate volatility be extracted from the cross section of bond yields? : An investigation of unspanned stochastic volatility
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
;
Jones, …
-
2004
Persistent link: https://www.econbiz.de/10002361808
Saved in:
8
Real interest rates and the default rate on high-yield bonds
Fridson, Martin S.
- In:
The journal of fixed income
7
(
1997
)
2
,
pp. 29-34
Persistent link: https://www.econbiz.de/10001229963
Saved in:
9
High yield bonds : markets work
Fridson, Martin S.
-
1993
Persistent link: https://www.econbiz.de/10001158972
Saved in:
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