Similar Search Results

Regime switching in the yield curve

Christiansen, Charlotte (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702287

Volatility-spillover effects in European bond markets

Christiansen, Charlotte (contributor) - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001838842

Multivariate term structure models with level and heteroskedasticity effects

Christiansen, Charlotte (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001724263

Decomposing European bond and equity volatility

Christiansen, Charlotte (contributor) - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002167494

Predicting severe simultaneous recessions using yield spreads as leading indicators

Christiansen, Charlotte - In: Journal of international money and finance 32 (2013), pp. 1032-1043

Persistent link: https://www.econbiz.de/10009733432

Macroeconomic announcement effects on the covariance structure of bond returns

Christiansen, Charlotte - 1999

Persistent link: https://www.econbiz.de/10001456528

Implied volatility of interest rate options : an empirical investigation of the market model

Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000

Persistent link: https://www.econbiz.de/10001456681

Long maturity forward rates

Christiansen, Charlotte (contributor) - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001622254

Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates

Christiansen, Charlotte - 2017

We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We...

Persistent link: https://www.econbiz.de/10012976547