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Further analysis of the expectations hypothesis using very short-term rates

Brown, Craig R.; Cyree, Ken B.; Griffiths, Mark D.; … - In: Journal of banking & finance 32 (2008) 4, pp. 600-613

Persistent link: https://www.econbiz.de/10003707706

The term structure of banking crisis risk in the United States : a market data based compound option approach

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - In: Journal of banking & finance 35 (2011) 4, pp. 876-885

Persistent link: https://www.econbiz.de/10009244228

Market discipline of banks : why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?

Balasubramnian, Bhanu; Cyree, Ken B. - In: Journal of banking & finance 35 (2011) 1, pp. 21-35

Persistent link: https://www.econbiz.de/10009244444

Has market discipline on banks improved after the Dodd-Frank Act?

Balasubramnian, Bhanu; Cyree, Ken B. - In: Journal of banking & finance 41 (2014), pp. 155-166

Persistent link: https://www.econbiz.de/10010408482

Analyzing determinants of bond yield spreads with Bayesian Model Averaging

Maltritz, Dominik; Molchanov, Alexander - In: Journal of banking & finance 37 (2013) 12, pp. 5275-5284

Persistent link: https://www.econbiz.de/10010343731

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

Curve momentum

Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012226133

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Persistent link: https://www.econbiz.de/10010300362

The importance of the volatility risk premium for volatility forecasting

Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320

Persistent link: https://www.econbiz.de/10010402181

Variance risk in commodity markets

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149

Persistent link: https://www.econbiz.de/10011816431