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An analysis of nonlinearities in term premiums and forward rates
Huang, Roger D. - In: Journal of empirical finance 3 (1996) 4, pp. 347-368
Persistent link: https://www.econbiz.de/10001215363
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Is convexity efficiently priced? : evidence from international swap markets
Rebonato, Riccardo; Ronzani, Riccardo - In: Journal of empirical finance 63 (2021), pp. 392-413
Persistent link: https://www.econbiz.de/10013259275
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Value-at-Risk analysis for long-term interest rate futures : Fat-tail and long memory in return innovations
Wu, Ping-Tsung; Shieh, Shwu-Jane - In: Journal of empirical finance 14 (2007) 2, pp. 248-259
Persistent link: https://www.econbiz.de/10003499670
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio - In: Journal of empirical finance 17 (2010) 4, pp. 722-743
Persistent link: https://www.econbiz.de/10009267247
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Modeling the volatility of the Heath-Jarrow-Morton model : a multifactor GARCH analysis
Zhou, Anjun - In: Journal of empirical finance 9 (2002) 1, pp. 35-56
Persistent link: https://www.econbiz.de/10001655780
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Is long memory necessary? : an empirical investigation of nonnegative interest rate processes
Duan, Jin-Chuan; Jacobs, Kris - In: Journal of empirical finance 15 (2008) 3, pp. 567-581
Persistent link: https://www.econbiz.de/10003759664
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Evaluating stochastic discount factors from term structure models
Farnsworth, Heber K. - In: Journal of empirical finance 16 (2009) 5, pp. 852-861
Persistent link: https://www.econbiz.de/10003900416
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The implied volatility term structure of stock index options
Mixon, Scott - In: Journal of empirical finance 14 (2007) 3, pp. 333-354
Persistent link: https://www.econbiz.de/10003609837
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Modeling the Euro overnight rate
Benito, Francis; León Valle, Ángel Manuel; Nave … - In: Journal of empirical finance 14 (2007) 5, pp. 756-782
Persistent link: https://www.econbiz.de/10003610012
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Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables
Lekkos, Ilias - In: Journal of empirical finance 14 (2007) 5, pp. 783-817
Persistent link: https://www.econbiz.de/10003610016