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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Volatility transmission in the European money market
Nautz, Dieter; Offermanns, Christian J. - In: The North American journal of economics and finance : a … 19 (2008) 1, pp. 23-39
Persistent link: https://www.econbiz.de/10003742567
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An assessment of the Bank of Canada's term PRA facility
Enenajor, Emanuella; Sebastian, Alex; Witmer, Jonathan - In: The North American journal of economics and finance : a … 23 (2012) 1, pp. 123-143
Persistent link: https://www.econbiz.de/10009673884
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Japan's impactful augmentation of quantitative easing sovereign-bond purchases
Inaba, Kei-Ichiro - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012665111
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The impact of liquidity on inflation-linked bonds : a hypothetical indexed bonds approach
Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - In: The North American journal of economics and finance : a … 32 (2015), pp. 139-154
Persistent link: https://www.econbiz.de/10011514457
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Oil price uncertainty and movements in the US government bond risk premia
Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012654789
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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012659594
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Modeling non-normal corporate bond yield spreads by copula
Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012642431
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Applications of machine learning for corporate bond yield spread forecasting
Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013188180