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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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Jump-diffusion term structure and Itô conditional moment generator
Zhou, Hao - 2001
Persistent link: https://www.econbiz.de/10001607156
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The surprise element: jumps in interest rates
Das, Sanjiv R. - In: Journal of econometrics 106 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
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Estimation for factor models term structure of interest rates with jumps : the case of the Taiwanese government bond market
Lin, Bing-huei; Yeh, Shih-kuo - In: Journal of international financial markets, … 11 (2001) 2, pp. 167-197
Persistent link: https://www.econbiz.de/10001575250
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The Volatility of Greek Interbank Rates : A Continuous Time Analysis
Nowman, K. Ben; Staikouras, Sotiris K. - 2007
In this paper we investigate the relationship between the volatility of Greek interbank rates and the level of rates by … rate models of Merton, Vasicek, CIRSR, Dothan, GBM, Brennan and Schwartz, CIRVR, and CEV models. We find the volatility of …
Persistent link: https://www.econbiz.de/10014066489
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Borrowed reserves, fed funds rate targets, and the term structure
Nilsen, Jeffrey H. - 1997
Persistent link: https://www.econbiz.de/10000956770
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A factor model of the term structure of interest rates and risk premium estimation for Latvia's money market
Ajevskis, Viktors (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003353607
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The behavior of interest rates and credit flows : persistence and cycles
Busch, Ulrike - 2011
Persistent link: https://www.econbiz.de/10009490397
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Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes
Wasmund, Jörn - 1999
Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …
Persistent link: https://www.econbiz.de/10011401950
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Measuring the macroeconomic impact of monetary policy at the zero lower bound
Wu, Jing Cynthia; Xia, Fan Dora - In: Journal of money, credit and banking : JMCB 48 (2016) 2/3, pp. 253-291
Persistent link: https://www.econbiz.de/10011516531