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Greenwood, Robin; Thesmar, David - 2009 - Rev.

predicts price volatility. We then extend the logic of fragility to investigate two natural extensions: (1) the forecast of …

Persistent link: https://www.econbiz.de/10003931310

Stock price fragility

Greenwood, Robin; Thesmar, David - In: Journal of financial economics 102 (2011) 3, pp. 471-490

Persistent link: https://www.econbiz.de/10009409752

The US zero-coupon yield spread as a predictor of excess daily stock market volatility

Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906

Persistent link: https://www.econbiz.de/10010410398

US term structure and international stock market volatility : the role of the expectations factor and the maturity premium

Li, Matthew C. - In: Journal of international financial markets, … 41 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011475874

The U.S. Term Structure and Return Volatility in Emerging Stock Markets

Demirer, Riza - 2019

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

Persistent link: https://www.econbiz.de/10012891063

The U.S. term structure and return volatility in emerging stock markets

Demirer, Rıza; Yüksel, Aslı; Yüksel, Aydın - In: Journal of economics and finance : JEF 44 (2020) 4, pp. 687-707

Persistent link: https://www.econbiz.de/10012297020

Information content and market liquidity in the fixed income market : evidence from the swaption market

Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014574914

Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach

Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862

Persistent link: https://www.econbiz.de/10009625006

Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model

Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62

Persistent link: https://www.econbiz.de/10001530342

An empirical analysis of factors driving the swap spread

Asgharian, Hossein; Karlsson, Sonnie - In: The journal of fixed income 18 (2008/09) 2, pp. 41-56

Persistent link: https://www.econbiz.de/10003777616

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