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Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework
Batten, Jonathan A.; In, Francis Haeuck - In: Applied financial economics 16 (2006) 12, pp. 881-892
Persistent link: https://www.econbiz.de/10003377842
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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
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The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
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Estimating single factor jump diffusion interest rate models
Sorwar, Ghulam - In: Applied financial economics 21 (2011) 22/24, pp. 1679-1689
Persistent link: https://www.econbiz.de/10009385057
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Volatility transmission across the term structure of swap markets : international evidence
Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058
Persistent link: https://www.econbiz.de/10002377770
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A two-factor model of the German term structure of interest rates
Cassola, Nuno; Luís, Jorge Barros - In: Applied financial economics 13 (2003) 11, pp. 783-806
Persistent link: https://www.econbiz.de/10001804426
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A decomposition of the term structure model of Heath, Jarrow and Morton
Guo, Chen - In: Applied financial economics 8 (1998) 2, pp. 111-118
Persistent link: https://www.econbiz.de/10001244130
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The volatility of US term structure term premia 1952 - 1991
Henry, Ólan Thomas John - In: Applied financial economics 9 (1999) 3, pp. 263-271
Persistent link: https://www.econbiz.de/10001454511
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Comparing returns of US treasuries versus equities : implications for market and portfolio efficiency
Chua, Choong Tze; Koh, Winston T. H.; Ramaswamy, Krishna - In: Applied financial economics 15 (2005) 17, pp. 1213-1218
Persistent link: https://www.econbiz.de/10003228793
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Volatility and risk estimation with linear and nonlinear methods based on high frequency data
Dettling, Marcel; Bühlmann, Peter - In: Applied financial economics 14 (2004) 10, pp. 717-729
Persistent link: https://www.econbiz.de/10002111044