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The effect of forward exchange on spot rate volatility under risk and rational expectations
Kawai, Masahiro - 1982
Persistent link: https://www.econbiz.de/10002203476
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Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk
Azad, A. S. M. Sohel - 2013
Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS …) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis … suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …
Persistent link: https://www.econbiz.de/10013091475
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Low-frequency volatility of yen interest rate swap market in relation to macroeconomic risk
Azad, A. S. M. Sohel; Fang, Victor; Wickramanayake, … - In: International review of finance 11 (2011) 3, pp. 353-390
Persistent link: https://www.econbiz.de/10009350006
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Market risk and trading durations
Raizada, Gaurav; Rao, S. V. D. Nageswara - In: The empirical economics letters : a monthly … 18 (2019) 4, pp. 391-400
Persistent link: https://www.econbiz.de/10012312395
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Endogenous second moments : a unified approach to fluctuations in risk, dispersion, and uncertainty
Straub, Ludwig; Ulbricht, Robert - 2016
Persistent link: https://www.econbiz.de/10012216957
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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Continuous time Wishart process for stochastic risk
Gouriéroux, Christian - In: Econometric reviews 25 (2006) 2/3, pp. 177-217
Persistent link: https://www.econbiz.de/10003355729
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Is the risk-return relation positive? : Further evidence from a stochastic volatility in mean approach
Loudon, Geoffrey F. - In: Applied financial economics 16 (2006) 13, pp. 981-992
Persistent link: https://www.econbiz.de/10003377852