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Determinants of primary market spreads on U.K. residential mortgage-backed securities and the implications for investor reliance on credit ratings

Fabozzi, Frank J.; Vink, Dennis - In: The journal of fixed income 21 (2012) 3, pp. 7-14

Persistent link: https://www.econbiz.de/10009532112

Predictability in the shape of the term structure of interest rates

Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe - In: The journal of fixed income 15 (2005) 1, pp. 40-53

Persistent link: https://www.econbiz.de/10003018774

A note on common interest rate risk measures

Buetow, Gerald W.; Fabozzi, Frank J.; Hanke, Bernd - In: The journal of fixed income 13 (2003) 2, pp. 46-54

Persistent link: https://www.econbiz.de/10001803151

Default rates on structured finance securities

Lucas, Douglas J.; Goodman, Laurie Sharon; Fabozzi, Frank J. - In: The journal of fixed income 14 (2004) 2, pp. 44-53

Persistent link: https://www.econbiz.de/10002421458

Macroeconomic news effects on conditional volatilities in the bond and stock markets

Arshanapalli, Bala Gangadhar; D'Ouville, Edmond L.; … - In: Applied financial economics 16 (2006) 5, pp. 377-384

Persistent link: https://www.econbiz.de/10003289274

The relationship between the S&P 500 spot and futures indices : brothers or cousins?

Chiu, Chien-liang; Chiang, Shu-mei; Kao, Feng - In: Applied financial economics 16 (2006) 5, pp. 405-412

Persistent link: https://www.econbiz.de/10003289287

Hedging with zero-value at risk hedge ratio

Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269

Persistent link: https://www.econbiz.de/10003291892

Empirical evidence on CDO performance

Newman, Daniel; Fabozzi, Frank J.; Lucas, Douglas J.; … - In: The journal of fixed income 18 (2008/09) 2, pp. 32-40

Persistent link: https://www.econbiz.de/10003777612

The stock market and the Fed

Mattesini, Fabrizio; Becchetti, Leonardo - In: Applied financial economics 19 (2009) 1/3, pp. 99-110

This article investigates the reaction of the Federal Reserve to developments in the stock market. The issue is analysed by first constructing an Index of Stock Price Misalignment (ISPM) in which the fundamental value of the stocks is computed on the basis of the discounted cash flow approach...

Persistent link: https://www.econbiz.de/10003825824

Estimation of value-at-risk under jump dynamics and asymmetric information

Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106

Persistent link: https://www.econbiz.de/10003213436