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An international examination of affine term structure models and the expectations hypothesis

Tang, Huarong (contributor); Xia, Yihong (contributor) - 2005

Persistent link: https://www.econbiz.de/10003726386

An international examination of affine term structure models and the expectations hypothesis

Tang, Huarong (contributor); Xia, Yihong (contributor) - 2005

Persistent link: https://www.econbiz.de/10003732629

Average idiosyncratic volatility in G7 countries

Guo, Hui; Savickas, Robert - In: The review of financial studies 21 (2008) 3, pp. 1259-1296

Persistent link: https://www.econbiz.de/10003742243

Volatility relationship between stock performance and real output

Ahn, Eun S.; Lee, Jin Man - In: Applied financial economics 16 (2006) 11, pp. 777-784

Persistent link: https://www.econbiz.de/10003350994

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

A no-arbitrage analysis of macroeconomic determinants of term structures and the exchange rate

Chabi-Yo, Fousseni (contributor); Yang, Jun (contributor) - 2007

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...

Persistent link: https://www.econbiz.de/10003462987