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person:"Monfort, Alain"
~person:"Lustig, Hanno"
~subject:"Bankenliquidität"
~subject:"Finanzmarkt"
~subject:"Kreditrisiko"
~subject:"Portfolio-Management"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Zinsstrukturkurve"
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Bankenliquidität
Finanzmarkt
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Yield curve
22
Zinsstruktur
22
Theorie
13
Theory
13
Risikoprämie
9
Risk premium
9
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7
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4
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Monfort, Alain
Lustig, Hanno
Chen, Tsung-Kang
7
Renne, Jean-Paul
7
Schmidt, Thorsten
6
Christensen, Jens H. E.
5
Jarrow, Robert A.
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Liao, Hsien-hsing
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Mayordomo, Sergio
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Nejadmalayeri, Ali
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Peña Sánchez de Rivera, Juan Ignacio
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Avino, Davide
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Benbouzid, Nadia
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Gouriéroux, Christian
4
Guidolin, Massimo
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Huang, Jing-Zhi
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Lando, David
4
Mallick, Sushanta Kumar
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Okimoto, Tatsuyoshi
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Pinto, João M.
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Subrahmanyam, Marti G.
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Takaoka, Sumiko
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Tseng, Yijie
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Bianchi, Robert
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Cathcart, Lara
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Chen, Tsung-kang
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D'Amico, Guglielmo
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De Pace, Pierangelo
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Delēs, Manthos D.
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Du, Ding
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Duffie, Darrell
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of banking & finance
1
Journal of econometrics
1
Journal of monetary economics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of finance : journal of the European Finance Association
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ECONIS (ZBW)
9
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1
Affine modeling of credit risk, pricing of credit events, and contagion
Monfort, Alain
;
Pegoraro, Fulvio
;
Renne, Jean-Paul
; …
- In:
Management science : journal of the Institute for …
67
(
2021
)
6
,
pp. 3674-3693
Persistent link: https://www.econbiz.de/10012606968
Saved in:
2
The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.
;
Lustig, Hanno
;
Nieuwerburgh, Stijn van
- In:
Journal of monetary economics
88
(
2017
),
pp. 50-69
Persistent link: https://www.econbiz.de/10011799154
Saved in:
3
Credit and liquidity in interbank rates : a quadratic approach
Dubecq, Simon
;
Monfort, Alain
;
Renne, Jean-Paul
; …
- In:
Journal of banking & finance
68
(
2016
),
pp. 29-46
Persistent link: https://www.econbiz.de/10011634788
Saved in:
4
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Saved in:
5
Decomposing euro-area sovereign spreads : credit and liquidity risks
Monfort, Alain
;
Renne, Jean-Paul
- In:
Review of finance : journal of the European Finance …
18
(
2014
)
6
,
pp. 2103-2151
Persistent link: https://www.econbiz.de/10011287708
Saved in:
6
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 237-277
Persistent link: https://www.econbiz.de/10010351547
Saved in:
7
Default, liquidity, and crises : an econometric framework
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 221-262
Persistent link: https://www.econbiz.de/10009745893
Saved in:
8
Optimal portfolio allocation under asset and surplus VaR constraints
Monfort, Alain
- In:
The journal of asset management
9
(
2008/09
)
3
,
pp. 178-192
Persistent link: https://www.econbiz.de/10003764508
Saved in:
9
Affine models for credit risk analysis
Gouriéroux, Christian
;
Monfort, Alain
;
Polimenis, V.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 494-530
Persistent link: https://www.econbiz.de/10003354119
Saved in:
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