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~isPartOf:"Journal of financial economics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Kapitaleinkommen"
~subject:"Option pricing theory"
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Search: subject_exact:"LIBOR market model"
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Kapitaleinkommen
Option pricing theory
Yield curve
172
Zinsstruktur
172
Theorie
58
Theory
58
Risikoprämie
52
Risk premium
52
Estimation
46
Schätzung
46
Credit risk
37
Kreditrisiko
37
CAPM
29
Capital income
29
USA
26
United States
26
Public bond
25
Volatility
25
Volatilität
25
Öffentliche Anleihe
25
Geldpolitik
24
Monetary policy
24
Interest rate
23
Zins
23
Corporate bond
21
Unternehmensanleihe
21
Risiko
15
Risk
15
Term structure
15
Bond
14
Forecasting model
14
Prognoseverfahren
14
Anleihe
13
Optionspreistheorie
13
EU countries
11
EU-Staaten
11
Interest rate derivative
10
Zinsderivat
10
Business cycle
9
Credit spreads
9
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Undetermined
29
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Article
40
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40
Aufsatz in Zeitschrift
40
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English
40
Author
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Jung, Hojin
3
Kim, Dong H.
3
Kim, Jong-Min
3
Bai, Jennie
2
Goldstein, Robert S.
2
Gupta, Rangan
2
Lin, Shih-kuei
2
Wohar, Mark E.
2
Acharya, Viral V.
1
Aharon, David Y.
1
Amihud, Yakov
1
Backus, David
1
Bakshi, Gurdip S.
1
Balcilar, Mehmet
1
Bali, Turan G.
1
Bekaert, Geert
1
Bharath, Sreedhar T.
1
Boyarchenko, Nina
1
Chen, Carl R.
1
Chernov, Mikhail
1
Christensen, Bent Jesper
1
Christoffersen, Peter F.
1
Chung, Kee H.
1
Collin-Dufresne, Pierre
1
Crosby, John
1
D'Amico, Stefania
1
Deng, Dongya
1
Ehling, Paul
1
Engstrom, Eric
1
Ermolov, Andrey
1
Filipović, Damir
1
Gallmeyer, Michael F.
1
Gao, Xiaohui
1
Goliński, Adam
1
Gonçalves, Andrei S.
1
Gourier, Elise
1
Han, Bing
1
Hansen, Jorge W.
1
Hanson, Samuel G.
1
Hasler, Michael
1
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Journal of financial economics
The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
44
Journal of banking & finance
41
NBER working paper series
35
Mathematical finance : an international journal of mathematics, statistics and financial theory
33
NBER Working Paper
30
Finance and economics discussion series
26
The journal of fixed income
25
Working paper / National Bureau of Economic Research, Inc.
25
Finance research letters
24
The journal of computational finance
23
Applied mathematical finance
21
Finance and stochastics
19
Review of derivatives research
19
Quantitative finance
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
The journal of futures markets
18
International journal of financial engineering
14
International review of economics & finance : IREF
14
Journal of empirical finance
14
Journal of international money and finance
14
Research paper series / Swiss Finance Institute
14
Journal of economic dynamics & control
13
Staff reports / Federal Reserve Bank of New York
13
The review of financial studies
13
Journal of financial and quantitative analysis : JFQA
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
CESifo working papers
11
Discussion paper / Centre for Economic Policy Research
11
FEDS Working Paper
11
Risks : open access journal
11
The European journal of finance
11
Working paper series / European Central Bank
11
Discussion papers / CEPR
10
Economic modelling
10
Journal of forecasting
10
The journal of finance : the journal of the American Finance Association
10
Applied economics letters
9
CREATES research paper
9
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ECONIS (ZBW)
40
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Why does the Fed move markets so much? : a model of monetary policy and time-varying risk aversion
Pflueger, Carolin E.
;
Rinaldi, Gianluca
- In:
Journal of financial economics
146
(
2022
)
1
,
pp. 71-89
Persistent link: https://www.econbiz.de/10013482163
Saved in:
3
COVID-19 related media sentiment and the yield curve of G-7 economies
Aharon, David Y.
;
Umar, Zaghum
;
Mukhriz Izraf Azman Aziz
; …
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013449300
Saved in:
4
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
5
Estimating yield spreads volatility using GARCH-type models
Kim, Jong-Min
;
Kim, Dong H.
;
Jung, Hojin
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012822078
Saved in:
6
The short duration premium
Gonçalves, Andrei S.
- In:
Journal of financial economics
141
(
2021
)
3
,
pp. 919-945
Persistent link: https://www.econbiz.de/10012873075
Saved in:
7
Reconstructing the yield curve
Liu, Yan
;
Wu, Jing Cynthia
- In:
Journal of financial economics
142
(
2021
)
3
,
pp. 1395-1425
Persistent link: https://www.econbiz.de/10012875953
Saved in:
8
Macro risks and the term structure of interest rates
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 479-504
Persistent link: https://www.econbiz.de/10013259807
Saved in:
9
Applications of machine learning for corporate bond yield spread forecasting
Kim, Jong-Min
;
Kim, Dong H.
;
Jung, Hojin
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013188180
Saved in:
10
Stochastic interest rates under rational inattention
Zhang, Yuhua
;
Niu, Yingjie
;
Wu, Ting
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012664614
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