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Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Clements, Adam; Liao, Yin; Tang, Yusui - In: Journal of forecasting 41 (2022) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10012796271
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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10011580766
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Trading strategies based on term structure model residuals
Jankowitsch, Rainer; Nettekoven, Michaela - In: The European journal of finance 14 (2008) 3/4, pp. 281-298
Persistent link: https://www.econbiz.de/10003744795
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The Jarrow-Turnbull default risk model : evidence from the German market
Frühwirth, Manfred; Sögner, Leopold - In: The European journal of finance 12 (2006) 2, pp. 107-135
Persistent link: https://www.econbiz.de/10003305283
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The importance of interest rates for forecasting the exchange rate
Bjørnland, Hilde Christiane; Hungnes, Håvard - In: Journal of forecasting 25 (2006) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10003318080
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Forecasting interest rate swap spreads using domestic and international risk factors : evidence from linear and non-linear models
Lekkos, Ilias; Milas, Costas; Panagiōtidēs, Theodōros - In: Journal of forecasting 26 (2007) 8, pp. 601-619
Persistent link: https://www.econbiz.de/10003608157
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Linking wealth and labour income with stock returns and government bond yields
Sousa, Ricardo M. - In: The European journal of finance 21 (2015) 10/12, pp. 806-825
Persistent link: https://www.econbiz.de/10011302003
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Heterogeneous expectations and exchange rate dynamics
Chiarella, Carl; He, Xue-zhong; Zheng, Min - In: The European journal of finance 19 (2013) 5/6, pp. 392-419
Persistent link: https://www.econbiz.de/10010243607
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Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723
Persistent link: https://www.econbiz.de/10010344463
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Risk premia and long rates in Ireland
Cuthbertson, Keith; Bredin, Donal - In: Journal of forecasting 20 (2001) 6, pp. 391-403
Persistent link: https://www.econbiz.de/10001611473