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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan
Mahmood, Asif - 2015
Persistent link: https://www.econbiz.de/10011419532
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Level-ARCH short rate models with regime switching : bivariate modeling of US and European short rates
Christiansen, Charlotte - In: International review of financial analysis 17 (2008) 5, pp. 925-948
Persistent link: https://www.econbiz.de/10003792319
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An investigation of bond term premia in international government bond indices
Halkos, George E.; Papadamou, Stephanos T. - In: Research in international business and finance 20 (2006) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10003374205
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Fractional integration and the volatility of UK interest rates
Coleman, Simeon; Sirichand, Kavita - 2011
Persistent link: https://www.econbiz.de/10009260922
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Fractional integration and the volatility of UK interest rates
Coleman, Simeon; Sirichand, Kavita - In: Economics letters 116 (2012) 3, pp. 381-384
Persistent link: https://www.econbiz.de/10009674339
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Regime switching in the relationship between equity returns and short-term interest rates in the UK
Henry, Ólan Thomas John - In: Journal of banking & finance 33 (2009) 2, pp. 405-414
Persistent link: https://www.econbiz.de/10003803123
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Level-ARCH short rate models with regime switching : bivariate modeling of U.S. and European short rates
Christiansen, Charlotte (contributor) - 2005
Persistent link: https://www.econbiz.de/10002743726
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Volatility Models of the Yield Curve
Goodman, Victor W. - 2009
Models of forward interest rates often use high-dimensional Brownian motions to capture imperfect correlations between near term and long term rates. Several statistical analyses suggest the practicality of using a simpler model. Principal component analyses reveal a pattern of correlations...
Persistent link: https://www.econbiz.de/10013155094
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Asymmetric dynamics in stock market volatility
Karunanayake, Indika; Valadkhani, Abbas - In: Economic papers : a journal of applied economics and policy 30 (2011) 2, pp. 279-287
Persistent link: https://www.econbiz.de/10009158805
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Empirical testing of the Samuelson hypothesis : an application to futures markets in Australia, Singapore and the UK
Allen, David E. (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001516104