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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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On stability of operational risk estimates by LDA : from causes to approaches
Zhou, Xiaoping; Durfee, Antonina V.; Fabozzi, Frank J. - In: Journal of banking & finance 68 (2016), pp. 266-278
Persistent link: https://www.econbiz.de/10011634840
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Computing the market price of volatility risk in the energy commodity markets
Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552
Persistent link: https://www.econbiz.de/10003795774
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Cross-commodity news transmission and volatility spillovers in the German energy markets
Green, Rikard; Larsson, Karl; Lunina, Veronika; … - In: Journal of banking & finance 95 (2018), pp. 231-243
Persistent link: https://www.econbiz.de/10011966754
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A comparison of yield curve estimation techniques using UK data
Ioannides, Michalis - In: Journal of banking & finance 27 (2003) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10001721729
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Term structure estimation from on-the-run Treasuries
Jordan, James V.; Mansi, Sattar - In: Journal of banking & finance 27 (2003) 8, pp. 1487-1509
Persistent link: https://www.econbiz.de/10001770312
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Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
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Evaluating the robustness of UK term structure decompositions using linear regression methods
Malik, Sheheryar; Meldrum, Andrew - In: Journal of banking & finance 67 (2016), pp. 85-102
Persistent link: https://www.econbiz.de/10011634653
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Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt - In: Journal of banking & finance 118 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012521061
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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