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BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997

This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...

Persistent link: https://www.econbiz.de/10005413172

The term structure of interest rates, the expectations hypothesis and international financial integration : evidence from Asian economies

Holmes, Mark J.; Otero, Jesús G.; Panagiōtidēs, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 679-689

Persistent link: https://www.econbiz.de/10009303888

A comparison of the information in the LIBOR and CMT term structures of interest rates

Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: Journal of banking & finance 54 (2015), pp. 239-253

Persistent link: https://www.econbiz.de/10011377823

The expectations hypothesis : new hope or illusory support?

Boonlert Jitmaneeroj; Wood, Andrew - In: Journal of banking & finance 37 (2013) 3, pp. 1084-1092

Persistent link: https://www.econbiz.de/10009708705

Capturing the risk premium of commodity futures : the role of hedging pressure

Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664

Persistent link: https://www.econbiz.de/10009760567

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

Exploiting commodity momentum along the futures curves

Groot, Wilma de; Karstanje, Dennis; Zhou, Weili - In: Journal of banking & finance 48 (2014), pp. 79-93

Persistent link: https://www.econbiz.de/10010506936

Bayesian extensions to Diebold-Li term structure model

Laurini, Márcio Poletti; Hotta, Luiz K. - In: International review of financial analysis 19 (2010) 5, pp. 342-350

Persistent link: https://www.econbiz.de/10009272648

International monetary policy spillovers : linkages between U.S. and South American yield curves

Cavaca, Igor Bastos; Meurer, Roberto - In: International review of economics & finance : IREF 76 (2021), pp. 737-754

Persistent link: https://www.econbiz.de/10013175892

The term structure of sovereign default risk in EMU member countries and its determinants

Eichler, Stefanie; Maltritz, Dominik - In: Journal of banking & finance 37 (2013) 6, pp. 1810-1816

Persistent link: https://www.econbiz.de/10009741917