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subject:"Optionspreistheorie"
~accessRights:"restricted"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International review of financial analysis"
~subject:"Capital income"
~type:"article"
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Search: subject_exact:"Interest rate spread"
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Optionspreistheorie
Capital income
Yield curve
43
Zinsstruktur
43
Theorie
17
Theory
17
Risikoprämie
14
Risk premium
14
Anleihe
8
Bond
8
Finance
8
Term structure
8
Credit risk
7
Estimation
7
Interest rate
7
Interest rate derivative
7
Kreditrisiko
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Portfolio selection
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Public bond
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Schätzung
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Zinsderivat
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Öffentliche Anleihe
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Kapitaleinkommen
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Option pricing theory
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Stochastischer Prozess
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Volatilität
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10
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Fanelli, Viviana
2
Chen, Yu-Lun
1
Dogah, Kingsley E.
1
He, Jie-Cao
1
Hsieh, Chang-Chieh
1
Huang, Zi-Wei
1
Jiang, Gongyue
1
Li, Haitao
1
Lin, Shih-kuei
1
McGee, Richard J.
1
McGroarty, Frank
1
Qiao, Gaoxiu
1
Recchioni, Maria Cristina
1
Renne, Jean-Paul
1
Tedeschi, Gabriele
1
Trabelsi, Nader
1
Umar, Zaghum
1
Xuan Vinh Vo
1
Yang, Jiyu
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Ye, Xiaoxia
1
Yu, Fan
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European journal of operational research : EJOR
International review of financial analysis
Finance research letters
22
Journal of banking & finance
22
Quantitative finance
17
International journal of theoretical and applied finance
16
Journal of financial economics
16
International journal of financial engineering
14
The North American journal of economics and finance : a journal of financial economics studies
13
Journal of empirical finance
11
International review of economics & finance : IREF
10
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Applied mathematical finance
8
Journal of international money and finance
8
Review of derivatives research
8
The journal of computational finance
7
Financial markets and portfolio management
6
International journal of bonds and derivatives
6
International journal of finance & economics : IJFE
6
Journal of economic dynamics & control
6
Journal of forecasting
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
The European journal of finance
6
The quarterly journal of finance
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Applied economics letters
5
Emerging markets, finance and trade : EMFT
5
Finance and stochastics
5
Journal of financial markets
5
Journal of international financial markets, institutions & money
5
Journal of mathematical finance
5
Research in international business and finance
5
Review of finance : journal of the European Finance Association
5
The journal of futures markets
5
Annals of financial economics
4
Economic modelling
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Economics letters
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Energy economics
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Insurance / Mathematics & economics
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Journal of financial and quantitative analysis : JFQA
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1
Are investment grade Sukuks decoupled from the conventional yield curve?
Trabelsi, Nader
;
Umar, Zaghum
;
Dogah, Kingsley E.
;
Xuan …
- In:
International review of financial analysis
91
(
2024
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014446968
Saved in:
2
Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao
;
Hsieh, Chang-Chieh
;
Huang, Zi-Wei
;
Lin, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
Saved in:
3
The crucial role of the five-year Treasury in the US yield curve
Chen, Yu-Lun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014469977
Saved in:
4
VIX term structure forecasting : new evidence based on the realized semi-variances
Qiao, Gaoxiu
;
Jiang, Gongyue
;
Yang, Jiyu
- In:
International review of financial analysis
82
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013431317
Saved in:
5
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
6
The risk premium that never was : a fair value explanation of the volatility spread
McGee, Richard J.
;
McGroarty, Frank
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 370-380
Persistent link: https://www.econbiz.de/10011785787
Saved in:
7
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
8
From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
262
(
2017
)
3
,
pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
Saved in:
9
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
Saved in:
10
A tractable interest rate model with explicit monetary policy rates
Renne, Jean-Paul
- In:
European journal of operational research : EJOR
251
(
2016
)
3
,
pp. 873-887
Persistent link: https://www.econbiz.de/10011449003
Saved in:
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