Narrow search
Showing 1 - 10 of 196
Cover Image
Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
Cover Image
Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
Cover Image
Bond indifference prices
Lorig, Matthew; Zou, Bin - In: Quantitative finance 21 (2021) 7, pp. 1223-1233
Persistent link: https://www.econbiz.de/10012588039
Cover Image
Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
Cover Image
Government bond yields in Germany and Spain : empirical evidence from better days
Basse, Tobias; Wegener, Christoph; Kunze, Frederik - In: Quantitative finance 18 (2018) 5, pp. 827-835
Persistent link: https://www.econbiz.de/10011907949
Cover Image
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?
Sakurai, Yuji; Kurosaki, Tetsuo - In: Quantitative finance 22 (2022) 12, pp. 2219-2236
Persistent link: https://www.econbiz.de/10013490939
Cover Image
Can volatility solve the naive portfolio puzzle?
Curran, Michael; O'Sullivan, Patrick; Zalla, Ryan - In: Quantitative finance 23 (2023) 11, pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Cover Image
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Cover Image
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Cover Image
Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271
Persistent link: https://www.econbiz.de/10013167736