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A note on the relation between principal components and dynamic factors in affine term structure models
Almeida, Caio Ibsen Rodrigues de - In: Brazilian review of econometrics : the review of the … 25 (2005) 1, pp. 89-114
Persistent link: https://www.econbiz.de/10009078658
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Decomposing and Simulating the Movements of Term Structures of Interest Rates in Emerging Eurobond Markets
Almeida, Caio Ibsen Rodrigues de; Marcos Duarte Jr, Antonio - In: The journal of fixed income 8 (1998) 1, pp. 21-32
Persistent link: https://www.econbiz.de/10007354590
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CREDIT SPREAD ARBITRAGE IN EMERGING EUROBOND MARKETS - In the corporate emerging Eurobond fixed-income market there are two main sources of credit risk: Sovereign risk and the rela...
Rodrigues De Almeida, Caio Ibsen; Duarte Jr, Antonio Marcos - In: The journal of fixed income 10 (2000) 3, pp. 100
Persistent link: https://www.econbiz.de/10007175930
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Density approximations for multivariate affine jump-diffusion processes
Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul - In: Journal of econometrics 176 (2013) 2, pp. 93-111
Persistent link: https://www.econbiz.de/10010152649
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Price and earnings momentum in Australian stock returns
Schneider, Paul; Gaunt, Clive - In: Accounting and finance : journal of the Accounting … 52 (2012) 2, pp. 495-518
Persistent link: https://www.econbiz.de/10009963549
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Properties of foreign exchange risk premiums
Sarno, Lucio; Schneider, Paul; Wagner, Christian - In: Journal of financial economics 105 (2012) 2, pp. 279-311
Persistent link: https://www.econbiz.de/10009980983
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The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
Schneider, Paul; Sögner, Leopold; Ve a, Tanja - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1517-1549
Persistent link: https://www.econbiz.de/10008848154
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The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market
Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: European financial management : the journal of the … 16 (2010) 4, pp. 658-686
Persistent link: https://www.econbiz.de/10008447854
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Timing decisions in a multinational context : implementing the Amin/Bodurtha framework
Frühwirth, Manfred; Schneider, Paul; Schwaiger, Markus S. - In: Multinational finance journal : MF ; quarterly … 11 (2007) 3/4, pp. 157-178
Persistent link: https://www.econbiz.de/10009879296
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Do interest rate options contain information about excess returns?
Almeida, Caio; Graveline, Jeremy J.; Joslin, Scott - In: Journal of econometrics 164 (2011) 1, pp. 35-45
Persistent link: https://www.econbiz.de/10009178484