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Inferring volatility from the yield curve
Brousseau, Vincent; Durré, Alain - In: Journal of mathematical finance 5 (2015) 3, pp. 304-314
Persistent link: https://www.econbiz.de/10011438558
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Carry trades and sovereign CDS spreads : evidence from Asia-Pacific markets
Pavlova, Ivelina; DeBoyrie, Maria Eugenia - In: The journal of futures markets 35 (2015) 11, pp. 1067-1087
Persistent link: https://www.econbiz.de/10011546216
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On inter-arrival times of bond market extreme events : an application to seven European markets
Siakoulis, Vasileios G.; Venetis, Ioannis A. - In: Journal of economics and finance 39 (2015) 4, pp. 717-741
Persistent link: https://www.econbiz.de/10011471449
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Volatility dynamics in the term structure of Latin American sovereign international bonds
Thuraisamy, Kannan Sivananthan - In: Emerging markets finance & trade : a journal of the … 51 (2015) 5, pp. 859-866
Persistent link: https://www.econbiz.de/10011561103
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Regime-switching univariate diffusion models of the short-term interest rate
Choi, Seungmoon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009513595
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Predicting interest rate volatility using information on the yield curve
Takamizawa, Hideyuki - In: International review of finance 15 (2015) 3, pp. 347-386
Persistent link: https://www.econbiz.de/10011498750
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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
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A GARCH approach to model short-term interest rates : evidence from Spanish economy
Sánchez García, Javier; Cruz Rambaud, Salvador - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1621-1632
Persistent link: https://www.econbiz.de/10013184367
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Risk premia in the term structure of crude oil futures : long-run and short-run volatility components
Boyd, Naomi E.; Li, Bingxin; Liu, Rui - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1505-1533
Persistent link: https://www.econbiz.de/10013191983