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subject:"Volatility"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~language:"eng"
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Search: subject_exact:"Interest rate spread"
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Volatility
Yield curve
165
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165
Theorie
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53
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52
Estimation
48
Schätzung
48
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Andersen, Torben
1
Benzoni, Luca
1
Caldeira, João F.
1
Chen, Jun-Home
1
Cieślak, Anna
1
Collin-Dufresne, Pierre
1
Cuia, Jin
1
Dai, Qiang
1
Filipović, Damir
1
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1
Singleton, Kenneth J.
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Takamizawa, Hideyuki
1
Trolle, Anders B.
1
Yang, Zhao
1
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1
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1
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International review of economics & finance : IREF
The journal of finance : the journal of the American Finance Association
Journal of banking & finance
24
The journal of futures markets
24
International journal of theoretical and applied finance
17
Journal of financial economics
15
Working paper / National Bureau of Economic Research, Inc.
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NBER working paper series
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Journal of empirical finance
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The review of financial studies
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Journal of international money and finance
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Finance research letters
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of fixed income
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Economics letters
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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International review of financial analysis
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Finance and stochastics
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ECONIS (ZBW)
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1
Economic policy uncertainty and volatility of corporate bond credit spread : evidence from China and the United States
Zhang, Maojun
;
Zhang, Rongjia
;
Yang, Zhao
- In:
International review of economics & finance : IREF
93
(
2024
)
2
,
pp. 827-841
Persistent link: https://www.econbiz.de/10014535660
Saved in:
2
How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Takamizawa, Hideyuki
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 205-223
Persistent link: https://www.econbiz.de/10013343384
Saved in:
3
Pricing virtual currency-linked derivatives with time-inhomogeneity
Lian, Yu-Min
;
Chen, Jun-Home
- In:
International review of economics & finance : IREF
71
(
2021
),
pp. 424-439
Persistent link: https://www.econbiz.de/10012627797
Saved in:
4
Asset prices with stochastic volatilities and a UIP puzzle
Lee, Eunhee
- In:
International review of economics & finance : IREF
64
(
2019
),
pp. 41-61
Persistent link: https://www.econbiz.de/10012322223
Saved in:
5
Linear-rational term structure models
Filipović, Damir
;
Larsson, Martin
;
Trolle, Anders B.
- In:
The journal of finance : the journal of the American …
72
(
2017
)
2
,
pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
Saved in:
6
A macro-finance term structure model with multivariate stochastic volatility
Laurini, Márcio Poletti
;
Caldeira, João F.
- In:
International review of economics & finance : IREF
44
(
2016
),
pp. 68-90
Persistent link: https://www.econbiz.de/10011626008
Saved in:
7
What drives the Libor-OIS spread? : evidence from five major currency Libor-OIS spreads
Cuia, Jin
;
In, Francis Haeuck
;
Maharaj, Elizabeth Ann
- In:
International review of economics & finance : IREF
45
(
2016
),
pp. 358-375
Persistent link: https://www.econbiz.de/10011626466
Saved in:
8
Information in the term structure of yield curve volatility
Cieślak, Anna
;
Povala, Pavol
- In:
The journal of finance : the journal of the American …
71
(
2016
)
3
,
pp. 1393-1436
Persistent link: https://www.econbiz.de/10011613566
Saved in:
9
Do bonds span volatility risk in the US treasury market? : a specification test for affine term structure models
Andersen, Torben
;
Benzoni, Luca
- In:
The journal of finance : the journal of the American …
65
(
2010
)
2
,
pp. 603-653
Persistent link: https://www.econbiz.de/10003962242
Saved in:
10
Unspanned stochastic volatility : evidence from hedging interest rate derivatives
Li, Haitao
;
Zhao, Feng
- In:
The journal of finance : the journal of the American …
61
(
2006
)
1
,
pp. 341-378
Persistent link: https://www.econbiz.de/10003302340
Saved in:
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