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On Makeham's formula and fixed income mathematics
Jensen, Bjarne Astrup - 1999
Persistent link: https://www.econbiz.de/10001421861
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Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte - 2002
Persistent link: https://www.econbiz.de/10001721479
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Determinants of the implied fundamentals from a target zone
Rangvid, Jesper; Sørensen, Carsten - 1997
Persistent link: https://www.econbiz.de/10000977528
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury … bill rate, the slope of the Treasury yield curve and the corporate bond-yield spread. As a methodological contribution, we … the corporate bond-yield spread is subject to time variation in its parameters. We also find that an increase in the …
Persistent link: https://www.econbiz.de/10014490330
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
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Returns in commodities futures markets and financial speculation : a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10009535531
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Vector autoregression models with skewness and heavy tails
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021
Persistent link: https://www.econbiz.de/10012604814
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The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555