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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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The dynamics of discrete bid and ask quotes
Hasbrouck, Joel - In: The journal of finance : the journal of the American … 54 (1999) 6, pp. 2109-2142
Persistent link: https://www.econbiz.de/10001496826
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Do bonds span volatility risk in the US treasury market? : a specification test for affine term structure models
Andersen, Torben; Benzoni, Luca - In: The journal of finance : the journal of the American … 65 (2010) 2, pp. 603-653
Persistent link: https://www.econbiz.de/10003962242
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Do bonds span the fixed income markets? : Theory and evidence for unspanned stochastic volatility
Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of finance : the journal of the American … 57 (2002) 4, pp. 1685-1730
Persistent link: https://www.econbiz.de/10001696255
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 1943-1978
Persistent link: https://www.econbiz.de/10001523883
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Gaussian estimation of single-factor continuous time models of the term structure of interest rates
Nowman, Kalid Ben - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1695-1706
Persistent link: https://www.econbiz.de/10001227625
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Is the corporate loan market globally integrated? : a pricing puzzle
Carey, Mark S.; Nini, Gregory P. - In: The journal of finance : the journal of the American … 62 (2007) 6, pp. 2969-3007
Persistent link: https://www.econbiz.de/10003593870
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Stock returns and volatility : pricing the short-run and long-run components of market risk
Adrian, Tobias; Rosenberg, Joshua V. - In: The journal of finance : the journal of the American … 63 (2008) 6, pp. 2997-3030
Persistent link: https://www.econbiz.de/10003823154
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Unspanned stochastic volatility : evidence from hedging interest rate derivatives
Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378
Persistent link: https://www.econbiz.de/10003302340
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Information in the term structure of yield curve volatility
Cieślak, Anna; Povala, Pavol - In: The journal of finance : the journal of the American … 71 (2016) 3, pp. 1393-1436
Persistent link: https://www.econbiz.de/10011613566