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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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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …
Persistent link: https://www.econbiz.de/10012422545
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: Inventi impact: microfinance & banking (2021) 2, pp. 70-82
Persistent link: https://www.econbiz.de/10012816012
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Modeling time-varying volatility in financial returns : evidence from the bond markets
Amado, Cristina; Laakkonen, Helinä - In: Essays in nonlinear time series econometrics, (pp. 139-160). 2014
Persistent link: https://www.econbiz.de/10010385311
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Volatility transmission along the money market yield curve
Ayuso, Juan; Haldane, Andrew G.; Restoy, Fernando - 1994
Persistent link: https://www.econbiz.de/10000883633
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Volatility transmission along the money market yield curve
Ayuso, Juan - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 133 (1997) 1, pp. 56-75
Persistent link: https://www.econbiz.de/10001218299
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Interest rates linkages between the French, German and USA interest rates: econometric evidence for the "German and US Dominance" hypothesis
Fisher, Lance; Joyeux, Roselyne; Worner, William E. - 1997
Persistent link: https://www.econbiz.de/10000658094
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Monetary interest rates, income shares, and investment : theory and empirical evidence for France, Germany, the UK, and the USA
Hein, Eckhard; Ochsen, Carsten - 2000
Monetary analysis requires the introduction of monetary variables into the determination of the equilibrium values of real variables such as production, income, distribution, and accumulation. Contrary to Keynes’s research program of a „monetary theory of production”, neither the older...
Persistent link: https://www.econbiz.de/10003958507
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Asymmetric mean reversion in European interest rates : a two-factor model
Koutmos, Gregory; Philippatos, George C. - In: The European journal of finance 13 (2007) 7/8, pp. 741-750
Persistent link: https://www.econbiz.de/10003610017
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Convergence of monetary transmission in EMU new evidence
Toolsema-Veldman, Linda Adriana; Sturm, Jan-Egbert; … - 2001
whether there is convergence in monetary transmission. The countries included are: Belgium, France, Germany, Italy, the …
Persistent link: https://www.econbiz.de/10011398432