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Real interest rate differentials between Central and Eastern European countries and the euro area

Janus, Jakub - In: Equilibrium : quarterly journal of economics and … 14 (2019) 4, pp. 677-693

Persistent link: https://www.econbiz.de/10012259928

Yield curve changes effect on Euro area bond indexes : a partial durations approach

Fonseca, José Soares da - In: International journal of monetary economics and finance 7 (2014) 1, pp. 28-39

Persistent link: https://www.econbiz.de/10010531296

A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads : Application of Eurozone Market Data

Lapshin, Victor - 2013

In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS … interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of …

Persistent link: https://www.econbiz.de/10013085033

An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio - In: Applied financial economics 24 (2014) 7/9, pp. 605-619

Persistent link: https://www.econbiz.de/10010402682

Forecasting long-term interest rates with a general-equilibrium model of the Euro area : what role for liquidity services of bonds? : Paolo Zagaglia

Zagaglia, Paolo - In: Asia-Pacific financial markets 20 (2013) 4, pp. 383-430

Persistent link: https://www.econbiz.de/10010345912

Assessing Italian government bonds' term structure with CIR model in the aftermath of EMU

Maggi, Bernardo; Infortuna, Fabrizio - In: Applied financial economics letters 4 (2008) 1/3, pp. 163-170

Persistent link: https://www.econbiz.de/10003725353

A Dynamic Equilibrium Q Probability Measure for Poisson Yield Spreads – Review of European Corporate Bonds

Thorp, John A - 2019

This paper presents a new model for term risk, yield curve, and credit risk in spreads in a unified approach. The originality lies in the structuring of the Poisson stochastic of risk in a form suitable for finding the differential equation for the yield curve and its spreads as the Poisson...

Persistent link: https://www.econbiz.de/10012871676

How safe are european safe bonds? : an analysis from the perspective of modern credit risk models

Frey, Rüdiger; Kurt, Kevin; Damian, Camilla - In: Journal of banking & finance 119 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012521283

Five weeks in the life of the pound interest rates, expectations and sterling's exit from the ERM

Robertson, Donald; Symons, James S. V. - 1993

Persistent link: https://www.econbiz.de/10000859087

Five weeks in the life of the pound. Interest rates, expectations and sterling's exit from the ERM

Robertson, Donald - In: Oxford bulletin of economics and statistics 56 (1994) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10001154048