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The information content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - 2011
Persistent link: https://www.econbiz.de/10009501966
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The informational content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - 2012
Persistent link: https://www.econbiz.de/10010424595
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Libor model with expiry-wise stochastic volatility and displacement
Ladkau, Marcel; Schoenmakers, John; Zhang, Jianing - In: International Journal of Portfolio Analysis and Management 1 (2013) 3, pp. 224-249
Persistent link: https://www.econbiz.de/10010190489
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The Informational Content of the Embedded Deflation Option in TIPS
Grishchenko, Olesya V. - 2011
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...
Persistent link: https://www.econbiz.de/10013132656
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The Informational Content of the Embedded Deflation Option in TIPS
Grishchenko, Olesya V. - 2013
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...
Persistent link: https://www.econbiz.de/10013082224
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The Information Content of the Embedded Deflation Option in TIPS
Grishchenko, Olesya V. - 2012
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...
Persistent link: https://www.econbiz.de/10013112923
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The Informational Content of the Embedded Deflation Option in TIPS
Grishchenko, Olesya V. - 2015
We estimate the value of the embedded option in the U.S. Treasury Inflation Protected Securities (TIPS). The embedded option value exhibits time variation that is correlated with periods of deflationary expectations. We construct embedded option explanatory variables that are statistically and...
Persistent link: https://www.econbiz.de/10013036493
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The informational content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - In: Journal of banking & finance 65 (2016), pp. 1-26
Persistent link: https://www.econbiz.de/10011634318