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date (oldest first)
1
Poisson-Gaussian processes and the bond market
Das, Sanjiv R.
-
1998
Persistent link: https://www.econbiz.de/10000671235
Saved in:
2
Extended Libor market models with affine and quadratic
volatility
Zühlsdorff, Christian
-
2002
dynamics has a linear
volatility
function. In this paper, the model is extended to quadratic
volatility
functions which are the …
Persistent link: https://www.econbiz.de/10011538865
Saved in:
3
Extended Libor market models with affine and quadratic
volatility
Zühlsdorff, Christian
-
2002
Persistent link: https://www.econbiz.de/10001667067
Saved in:
4
Extended libor market models : derivatives pricing, implementation, and calibration
Zühlsdorff, Christian
-
2002
Persistent link: https://www.econbiz.de/10001678903
Saved in:
5
On the pricing of overnight market risk
Perras, Patrizia Julia
;
Wagner, Niklas F.
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
3
,
pp. 1307-1327
Persistent link: https://www.econbiz.de/10012285567
Saved in:
6
Transmission of
volatility
of money market overnight repo rate along the Yield Curve in Pakistan
Mahmood, Asif
-
2015
Persistent link: https://www.econbiz.de/10011419532
Saved in:
7
Volatility
transmission along the money market yield curve
Ayuso, Juan
;
Haldane, Andrew G.
;
Restoy, Fernando
-
1994
Persistent link: https://www.econbiz.de/10000883633
Saved in:
8
Identifying term structure
volatility
from the LIBOR-swap curve
Thompson, Samuel B.
- In:
The review of financial studies
21
(
2008
)
2
,
pp. 819-854
Persistent link: https://www.econbiz.de/10003716657
Saved in:
9
Interest rate dispersion and
volatility
in the market for daily funds
Gaspar, Vítor
;
Pérez-Quirós, Gabriel
;
Rodríguez, Hugo
- In:
European economic review : EER
52
(
2008
)
3
,
pp. 413-440
Persistent link: https://www.econbiz.de/10003726319
Saved in:
10
Volatility
transmission in the European money market
Nautz, Dieter
;
Offermanns, Christian J.
- In:
The North American journal of economics and finance : a …
19
(
2008
)
1
,
pp. 23-39
Persistent link: https://www.econbiz.de/10003742567
Saved in:
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