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Nonlinear asymmetric models of the short-term interest rate
Demirtas, K. Ozgur - In: The journal of futures markets 26 (2006) 9, pp. 869-894
Persistent link: https://www.econbiz.de/10003356477
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An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung; Lee, Yung-Hsin; Chao, Wan-Ling - In: The journal of futures markets 35 (2015) 12, pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
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Information content of the Fed Fund rates
Sultan, Jahangir - In: The journal of futures markets 25 (2005) 8, pp. 753-774
Persistent link: https://www.econbiz.de/10003012125
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Normal backwardation in short-term interest rate futures markets
Krehbiel, Timothy L. - In: The journal of futures markets 16 (1996) 8, pp. 899-913
Persistent link: https://www.econbiz.de/10001209794
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An empirical comparison of continuous time models of the short term interest rate
Bali, Turan G. - In: The journal of futures markets 19 (1999) 7, pp. 777-797
Persistent link: https://www.econbiz.de/10001443351
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
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Interest rate futures : evidence on forecast power, expected premiums, and the unbiased expectations hypothesis
Krehbiel, Timothy L. - In: The journal of futures markets 14 (1994) 5, pp. 531-543
Persistent link: https://www.econbiz.de/10001169817
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Do systematic risk premiums persist in Eurodollar futures prices?
Krehbiel, Timothy L. - In: The journal of futures markets 16 (1996) 4, pp. 389-403
Persistent link: https://www.econbiz.de/10001198896
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Pricing stock index futures with stochastic interest rates
Cakici, Nusret - In: The journal of futures markets 11 (1991) 4, pp. 441-452
Persistent link: https://www.econbiz.de/10001109935
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The impact of interest rate level and volatility on the performance of interest rate hedges
Hegde, Shantaram P. - In: The journal of futures markets 2 (1982) 4, pp. 341-356
Persistent link: https://www.econbiz.de/10001080709