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Estimates of the short-term rate process in an arbitrage-free framework
Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589
Persistent link: https://www.econbiz.de/10002171480
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The expectations hypothesis of the term structure : tests on US, German, French, and UK Euro-rates
Jondeau, Eric; Ricart, Roland - In: Journal of international money and finance 18 (1999) 5, pp. 725-750
Persistent link: https://www.econbiz.de/10001415349
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Mittelfristiger Franc : Terminkontrakt ; Zinsterminkontrakt
1993
Persistent link: https://www.econbiz.de/10000865109
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'Stop-Loss' Strategies : Theory and Application to the Matif Bond Future Contract (In French)
bensaid, bernard - 2011
To explain the existence of stop-loss rules in financial institutions, we develop a principal/agent model, where an investment firm (the principal) has to rely on the expertise of a trader (the agent) to invest in a risky asset (a future contract, say). When the trader faces a limited liability...
Persistent link: https://www.econbiz.de/10013131855
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Expected budget deficits and interest rate swap spreads : evidence from France, Germany and Italy
Heppke-Falk, Kirsten; Hüfner, Felix - 2004
Persistent link: https://www.econbiz.de/10002781978
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Expected budget deficits and interest rate swap spreads - evidence for France, Germany and Italy
Heppke-Falk, Kirsten; Hüfner, Felix - 2004
Persistent link: https://www.econbiz.de/10002600355
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Expected budget deficits and interest rate swap spreads - evidence for France, Germany and Italy
Heppke-Falk, Kirsten (contributor);  … - 2004
This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany … the whole sample period (1994-2004). However, we find an increase in market discipline for Germany and France since the … signing of the Stability and Growth Pact, and for Germany also since the start of European monetary union. …
Persistent link: https://www.econbiz.de/10002515738
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Interbank interest rates as term structure indicators
Malz, Allan Martin - 1998
Persistent link: https://www.econbiz.de/10001487288
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Expected Budget Deficits and Interest Rate Swap Spreads - Evidence for France, Germany and Italy
Heppke-Falk, Kirsten - 2016
This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany … the whole sample period (1994-2004). However, we find an increase in market discipline for Germany and France since the … signing of the Stability and Growth Pact, and for Germany also since the start of European monetary …
Persistent link: https://www.econbiz.de/10012991340
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Modélisation du prix des actifs financiers
Jondeau, Eric; Nicolaï, Jean-Paul - 1993
Persistent link: https://www.econbiz.de/10000871284