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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377668
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377669
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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
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Individual stock-option prices and credit spreads
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J.; … - In: Journal of banking & finance 32 (2008) 12, pp. 2706-2715
Persistent link: https://www.econbiz.de/10003796160
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Credit spread variability in the U.S. business cycle : the Great Moderation versus the Great Recession
Hollander, Hylton; Liu, Guangling - In: Journal of banking & finance 67 (2016), pp. 37-52
Persistent link: https://www.econbiz.de/10011634640
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Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets
Daal, Elton; Naka, Atsuyuki; Yu, Jung-suk - In: Journal of banking & finance 31 (2007) 9, pp. 2751-2769
Persistent link: https://www.econbiz.de/10003572361
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Macroeconomic news, announcements, and stock market jump intensity dynamics
Gonzalo Rangel, José - In: Journal of banking & finance 35 (2011) 5, pp. 1263-1276
Persistent link: https://www.econbiz.de/10009245237
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Re-examing the asymmetric predictability of conditional variances : the role of sudden changes in variance
Ewing, Bradley T.; Malik, Farooq - In: Journal of banking & finance 29 (2005) 10, pp. 2655-2673
Persistent link: https://www.econbiz.de/10003071041
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Stock market volatility, excess returns, and the role of investor sentiment
Lee, Wayne Y.; Jiang, Christine X.; Indro, Daniel C. - In: Journal of banking & finance 26 (2002) 12, pp. 2277-2299
Persistent link: https://www.econbiz.de/10001719717