//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"NBER working paper series"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
An empirical analysis of facto...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
USA
3,415
United States
3,410
Volatility
485
Volatilität
485
Theorie
455
Theory
455
Impact assessment
321
Wirkungsanalyse
321
Aktienmarkt
313
Stock market
313
Estimation
291
Schätzung
291
Yield curve
267
Zinsstruktur
267
Börsenkurs
256
Share price
256
Coronavirus
222
Capital income
220
Kapitaleinkommen
220
Financial investment
209
Kapitalanlage
209
Geldpolitik
190
Monetary policy
190
Business cycle
179
Konjunktur
179
Welt
177
World
177
Comparison
143
Vergleich
143
Portfolio selection
122
Portfolio-Management
122
Finanzkrise
119
Financial crisis
118
Beschäftigungseffekt
107
Employment effect
107
Financial market
107
Finanzmarkt
107
Exchange rate
100
Wechselkurs
100
Produktivität
99
more ...
less ...
Online availability
All
Free
3,536
Undetermined
1,001
Type of publication
All
Book / Working Paper
4,545
Type of publication (narrower categories)
All
Graue Literatur
1,912
Non-commercial literature
1,912
Arbeitspapier
1,911
Working Paper
1,911
Mehrbändiges Werk
1
Multi-volume publication
1
Systematic review
1
Übersichtsarbeit
1
more ...
less ...
Language
All
English
4,544
German
1
Author
All
Goldin, Claudia
51
Campbell, John Y.
32
Katz, Lawrence F.
30
Bekaert, Geert
28
Lipsey, Robert E.
28
Hanson, Gordon H.
27
Bloom, Nicholas
26
Davis, Steven J.
26
Diebold, Francis X.
26
Aizenman, Joshua
24
Auerbach, Alan J.
23
Autor, David H.
23
Bordo, Michael D.
23
Mitchell, Olivia S.
23
Lustig, Hanno
22
Friedman, Benjamin M.
21
Gorodnichenko, Yuriy
21
Feenstra, Robert C.
20
Glaeser, Edward L.
20
Blanchflower, David G.
19
Neumark, David
19
Schott, Peter K.
18
Andersen, Torben G.
17
Harvey, Campbell R.
17
Poterba, James M.
17
Ang, Andrew
16
Kotlikoff, Laurence J.
16
Meyer, Bruce D.
16
Acemoglu, Daron
15
Cutler, David M.
15
Maclean, Johanna Catherine
15
Mulligan, Casey B.
15
Shleifer, Andrei
15
Shoven, John B.
15
Warnock, Francis E.
15
Bollerslev, Tim
14
Frankel, Jeffrey A.
14
Goetzmann, William N.
14
Nadiri, M. Ishaq
14
Sabia, Joseph J.
14
more ...
less ...
Institution
All
National Bureau of Economic Research
4,507
Published in...
All
NBER working paper series
Working paper / National Bureau of Economic Research, Inc.
12,060
The American economic review
2,516
Discussion paper / Centre for Economic Policy Research
2,261
NBER Working Paper
2,242
Discussion paper series / IZA
1,871
Applied economics
1,812
The journal of finance : the journal of the American Finance Association
1,735
American journal of agricultural economics
1,583
Journal of banking & finance
1,555
The review of economics and statistics
1,520
The review of financial studies
1,450
Working paper
1,442
Economics letters
1,220
Journal of financial economics
1,188
Energy economics
1,122
Finance research letters
1,087
The journal of futures markets
1,078
Journal of financial and quantitative analysis : JFQA
1,019
CESifo working papers
1,003
Finance and economics discussion series
981
Applied economics letters
977
International review of financial analysis
953
Economic review
950
Southern economic journal
920
Economic inquiry : journal of the Western Economic Association International
890
IZA Discussion Papers
871
National tax journal
864
Monthly labor review : MLR
862
Journal of money, credit and banking : JMCB
857
International review of economics & finance : IREF
855
Applied financial economics
847
Economic modelling
795
Journal of human resources : JHR
766
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
761
Journal of political economy
727
Journal of international money and finance
714
The journal of economic perspectives : EP ; a journal of the American Economic Association
705
The quarterly journal of economics
690
IMF working papers
666
more ...
less ...
Source
All
ECONIS (ZBW)
4,543
USB Cologne (EcoSocSci)
2
Showing
1
-
10
of
4,545
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
An Empirical Analysis of the Swaption Cube
Trolle, Anders B.
-
2010
-series variation of conditional volatility and skewness of the
swap
rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical
swap
rate distributions. Finally, we investigate the fundamental drivers of …
Persistent link: https://www.econbiz.de/10012462108
Saved in:
2
Are Stocks Really Less Volatile in the Long Run?
Pastor, Lubos
-
2009
According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an...
Persistent link: https://www.econbiz.de/10012463890
Saved in:
3
The Level and Volatility of Interest Rates in the United States : The Roles of Expected Inflation, Real Rates, and Taxes
Makin, John H.
-
1983
This paper attempts to demonstrate a need to expand the simple Fisherian view whereby changes in interest rates are explained largely by changes in expected inflation. It presents and tests a model of expected, after-tax real interest rate behavior which, together with a group of explanatory...
Persistent link: https://www.econbiz.de/10012477933
Saved in:
4
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
Andersen, Torben G.
-
2007
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds...
Persistent link: https://www.econbiz.de/10012465694
Saved in:
5
Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D.
-
2004
This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...
Persistent link: https://www.econbiz.de/10012467986
Saved in:
6
Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default
Swap
Market
Longstaff, Francis A.
-
2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012468275
Saved in:
7
An Evaluation of Multi-Factor CIR Models Using LIBOR,
Swap
Rates, and Cap and Swaption Prices
Jagannathan, Ravi
-
2001
We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR,
swap
rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and
swap
rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-
swap
market. However, statistical …
Persistent link: https://www.econbiz.de/10012470033
Saved in:
8
Are all Credit Default
Swap
Databases Equal?
Mayordomo, Sergio
-
2010
sources of corporate Credit Default
Swap
prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …
Persistent link: https://www.econbiz.de/10012462067
Saved in:
9
Simple Variance Swaps
Martin, Ian
-
2011
the single-name variance
swap
market to dry up completely. This paper defines and analyzes a simple variance
swap
, a … relative of the variance
swap
that in several respects has more desirable properties. First, simple variance swaps are robust …
Persistent link: https://www.econbiz.de/10012461773
Saved in:
10
A Preferred-Habitat Model of the Term Structure of Interest Rates
Vayanos, Dimitri
-
2009
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and...
Persistent link: https://www.econbiz.de/10012463162
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->