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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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Semiparametric estimation of a characteristic-based factor model of common stock returns
Connor, Gregory; Linton, Oliver - In: Journal of empirical finance 14 (2007) 5, pp. 694-717
Persistent link: https://www.econbiz.de/10003609986
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How arbitrage-free is the Nelson-Siegel model?
Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - In: Journal of empirical finance 18 (2011) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10009302103
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An exploration of the persistence of UK unit trust performance
Fletcher, Jonathan; Forbes, David - In: Journal of empirical finance 9 (2002) 5, pp. 475-493
Persistent link: https://www.econbiz.de/10001711984
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Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory
Antoniou, Antonios; Garrett, Ian; Priestley, Richard - In: Journal of empirical finance 5 (1998) 3, pp. 221-240
Persistent link: https://www.econbiz.de/10001668827
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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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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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Limits to arbitrage and CDS-bond dynamics around the financial crisis
Chalamandaris, George; Pagratis, Spyros - In: Journal of empirical finance 54 (2019), pp. 213-235
Persistent link: https://www.econbiz.de/10012174829