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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

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

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

Conditional volatility in affine term-structure models : evidence from Treasury and swap markets

Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318

Persistent link: https://www.econbiz.de/10003833577

A dynamic approach to interest rate convergence in selected euro-candidate countries

Gabrisch, Hubert; Orłowski, Lucjan T. - 2009

We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we empirically test volatility dynamics of the tenyear sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields...

Persistent link: https://www.econbiz.de/10003839554