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Credit spread changes and monetary policy surprises : the evidence from the fed funds futures market
Zhu, Xiaoneng - In: The journal of futures markets 33 (2013) 2, pp. 103-128
Persistent link: https://www.econbiz.de/10009699453
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A monetary policy-based explanation of swap spreads in China
Fan, Longzhen; Hou, Xin; Sun, Qian - In: The journal of futures markets 43 (2023) 11, pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
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The new market for volatility trading
Zhang, Jin E.; Shu, Jinghong; Brenner, Menachem - In: The journal of futures markets 30 (2010) 9, pp. 809-833
Persistent link: https://www.econbiz.de/10008900929
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The dynamics of long forward rate term structures
Luo, Xingguo; Zhang, Jin E. - In: The journal of futures markets 30 (2010) 10, pp. 957-982
Persistent link: https://www.econbiz.de/10008900931
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Sources of variation in holding returns for fed funds futures contracts
Hamilton, James D.; Okimoto, Tatsuyoshi - In: The journal of futures markets 31 (2011) 3, pp. 205-229
Persistent link: https://www.econbiz.de/10008908404
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Commodity, strategies based on momentum, term structure, and idiosyncratic volatility
Fuertes, Ana María; Miffre, Joëlle; Fernandez-Perez, … - In: The journal of futures markets 35 (2015) 3, pp. 274-297
Persistent link: https://www.econbiz.de/10011348423
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The Nelson-Siegel model of the term structure of option implied volatility and volatility components
Guo, Biao; Han, Qian; Zhao, Bin - In: The journal of futures markets 34 (2014) 8, pp. 788-806
Persistent link: https://www.econbiz.de/10010507936
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Stochastic skew in the interest rate cap market
Leung, Kwai S.; Ng, Hon Y.; Wong, Hoi Ying - In: The journal of futures markets 34 (2014) 12, pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
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The use of term structure information in the hedging of mortgage-backed securities
Finkle, Jason L.; Fink, Kristin E.; Lange, Stephen - In: The journal of futures markets 25 (2005) 7, pp. 661-678
Persistent link: https://www.econbiz.de/10002983476
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Identifying the factors that affect interest-rate swap spreads : some evidence from the United States and the United Kingdom
Lekkos, Ilias; Milas, Costas - In: The journal of futures markets 21 (2001) 8, pp. 737-768
Persistent link: https://www.econbiz.de/10001591750