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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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Does the expectations hypothesis explain the term structure of treasury bond yields in Tunisia?
Boukhatem, Jamel - In: The journal of applied business research 32 (2016) 1, pp. 239-254
Persistent link: https://www.econbiz.de/10011436544
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Immunization of fixed-income portfolios using an exponential parametric model
Lund, Bruno; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 155-201
Persistent link: https://www.econbiz.de/10011538795
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The expectations hypothesis and decoupling of short- and long-term US interest rates : a pairwise approach
Holmes, Mark J.; Otero, Jesús G.; Panagiōtidēs, … - In: The North American journal of economics and finance : a … 34 (2015), pp. 301-313
Persistent link: https://www.econbiz.de/10011540004
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Riding the swaption curve
Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
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Testing cointegration in quantile regressions with an application to the term structure of interest rates
Kuriyama, Nina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 107-121
Persistent link: https://www.econbiz.de/10011507436
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Equity volatility as a determinant of future term-structure volatility
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: Journal of financial markets 25 (2015), pp. 33-51
Persistent link: https://www.econbiz.de/10011477263
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - In: Journal of financial economics 129 (2018) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011981208
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Is Thailand's credit default swap market linked to bond and stock markets? : evidence from the term structure of credit spreads
Boonlert Jitmaneeroj - In: Research in international business and finance 46 (2018), pp. 324-341
Persistent link: https://www.econbiz.de/10011983668
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On the predictability of emerging market sovereign credit spreads
Audzeyeva, Alena; Fuertes, Ana María - In: Journal of international money and finance 88 (2018), pp. 140-157
Persistent link: https://www.econbiz.de/10012000882