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Rudebusch, Glenn D.
56
McAleer, Michael
52
Creedy, John
43
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38
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38
Herwartz, Helmut
38
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Springer Gabler <Firma>
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State University of New York at Albany / Department of Economics
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
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NBER working paper series
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109
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83
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64
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1
Inferring volatility from the yield curve
Brousseau, Vincent
;
Durré, Alain
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 304-314
Persistent link: https://www.econbiz.de/10011438558
Saved in:
2
Fractionally integrated models with ARCH errors
Hauser, Michael A.
;
Kunst, Robert M.
-
1994
Persistent link: https://www.econbiz.de/10000882159
Saved in:
3
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
Saved in:
4
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
Saved in:
5
Estimation of continuous time processes with application to finance
Egorov, Alexej V.
-
2003
Persistent link: https://www.econbiz.de/10003385165
Saved in:
6
Term structure dynamics in a monetary economy with learning
Ono, Sadayuki
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003564787
Saved in:
7
The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela
;
Schotman, Peter C.
-
2012
Persistent link: https://www.econbiz.de/10009576958
Saved in:
8
Time varying price discovery
Avino, Davide
;
Lazar, Emese
;
Varotto, Simone
- In:
Economics letters
126
(
2015
),
pp. 18-21
Persistent link: https://www.econbiz.de/10011376376
Saved in:
9
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Computational economics
46
(
2015
)
1
,
pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
Saved in:
10
Regime-switching univariate diffusion models of the short-term interest rate
Choi, Seungmoon
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009513595
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