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Liquidity and volatility in the US treasury market
Nguyen, Giang H.; Engle, Robert F.; Fleming, Michael J.; … - In: Journal of econometrics 217 (2020) 2, pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
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Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills
Engle, Robert F. - In: Journal of econometrics 45 (1990) 1, pp. 213-237
Persistent link: https://www.econbiz.de/10001332074
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Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - In: Journal of econometrics 183 (2014) 2, pp. 151-167
Persistent link: https://www.econbiz.de/10010506073
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Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A. - In: Journal of econometrics 177 (2013) 2, pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
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Term structure analysis with big data : one-step estimation using bond prices
Andreasen, Martin Møller; Christensen, Jens H. E.; … - In: Journal of econometrics 212 (2019) 1, pp. 26-46
Persistent link: https://www.econbiz.de/10012303862
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Monetary reforms and inflation expectations in Japan : evidence from inflation-indexed bonds
Christensen, Jens H. E.; Spiegel, Mark - In: Journal of econometrics 231 (2022) 2, pp. 410-431
Persistent link: https://www.econbiz.de/10013464829
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Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu; Niu, Linlin; Zhang, Chen - In: Journal of econometrics 230 (2022) 1, pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
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Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
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Local parametric analysis of hedging in discrete time
Bossaerts, Peter L. - In: Journal of econometrics 81 (1997) 1, pp. 243-272
Persistent link: https://www.econbiz.de/10001336795
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Local polynomial estimators of the volatility function in nonparametric autoregression
Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242
Persistent link: https://www.econbiz.de/10001336796