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Affine models of the joint dynamics of exchange rates and interest rates
Anderson, Bing; Hammond, Peter J.; Ramezani, Cyrus A. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1341-1365
Persistent link: https://www.econbiz.de/10008907330
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Term structure estimation with survey data on interest rate forecasts
Kim, Don H.; Orphanides, Athanasios - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 1, pp. 241-272
Persistent link: https://www.econbiz.de/10009623133
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A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
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Information, trading volume, and international stock return comovements : evidence from cross-listed stocks
Gagnon, Louis; Karolyi, G. Andrew - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 953-986
Persistent link: https://www.econbiz.de/10003901213
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The joint dynamics of equity market factors
Christoffersen, Peter F.; Langlois, Hugues - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1371-1404
Persistent link: https://www.econbiz.de/10010343643
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On the expected earnings hypothesis explanation of the aggregate returns-earnings association puzzle
Bailey, Warren; Lai, Huiwen - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 8, pp. 2732-2763
Persistent link: https://www.econbiz.de/10012384772
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Term structure, inflation, and real activity
Berardi, Andrea - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 987-1011
Persistent link: https://www.econbiz.de/10003901214
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An international examination of affine term structure models and the expectations hypothesis
Tang, Huarong; Xia, Yihong - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 41-80
Persistent link: https://www.econbiz.de/10003434453
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The empirical failure of the expectations hypothesis of the term structure of bond yields
Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 81-100
Persistent link: https://www.econbiz.de/10003434577
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The term structure of bond market liquidity and its implications for expected bond returns
Goyenko, Ruslan; Subrahmanyam, Avanidhar; Ukhov, Andrey - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 1, pp. 111-139
Persistent link: https://www.econbiz.de/10008991268