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The ECB monetary policy strategy and the money market

Gaspar, Vítor; Pérez-Quirós, Gabriel; Sicilia, Jorge - 2001

Persistent link: https://www.econbiz.de/10001608121

Systemic tail risk: high-frequency measurement, evidence and implications

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Persistent link: https://www.econbiz.de/10014320683

Macroeconomic announcement effects on the covariance structure of bond returns

Christiansen, Charlotte - 1999

Persistent link: https://www.econbiz.de/10001411173

Systematic cojumps, market component portfolios and scheduled macroeconomic announcements

Kam Fong Chan; Bowman, Robert G.; Neely, Christopher J. - 2017 - This version: April 2017

Persistent link: https://www.econbiz.de/10011691468

Expected monetary policy and the dynamics of bank lending rates

Kwapil, Claudia; Scharler, Johann - 2009

Persistent link: https://www.econbiz.de/10003847027

Do productivity growth, budget deficits, and monetary policy actions affect real interest rates? : Evidence from macroeconomic announcement data

Kliesen, Kevin L. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002496991

Unconventional monetary policy and long yields during QE1 : learning from the shorts

McInish, Thomas H.; Neely, Christopher J.; Planchon, Jade - 2017

In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a...

Persistent link: https://www.econbiz.de/10011782636

Modelling the MIB30 implied volatility surface : does efficiency matter?

Cassese, Gianluca (contributor); … - 2005

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …

Persistent link: https://www.econbiz.de/10002917585

Modeling conditional factor risk premia implied by index option returns

Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021

Persistent link: https://www.econbiz.de/10013328240

The geography of investor attention

Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021

Persistent link: https://www.econbiz.de/10012805509

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