Narrow search
Showing 1 - 10 of 39,213
Cover Image
An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010126547
Cover Image
En empirisk analyse af de bestemmende faktorer fpr swap spændet
Asgharian, Hossein (contributor);  … - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10003721205
Cover Image
Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
Cover Image
Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
Cover Image
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Cover Image
An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - In: The journal of fixed income 18 (2008/09) 2, pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
Cover Image
US term structure and international stock market volatility : the role of the expectations factor and the maturity premium
Li, Matthew C. - In: Journal of international financial markets, … 41 (2016), pp. 1-15
Persistent link: https://www.econbiz.de/10011475874
Cover Image
The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
Cover Image
The U.S. Term Structure and Return Volatility in Emerging Stock Markets
Demirer, Riza - 2019
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we show that the U.S. term structure indeed contains...
Persistent link: https://www.econbiz.de/10012891063
Cover Image
The U.S. term structure and return volatility in emerging stock markets
Demirer, Rıza; Yüksel, Aslı; Yüksel, Aydın - In: Journal of economics and finance : JEF 44 (2020) 4, pp. 687-707
Persistent link: https://www.econbiz.de/10012297020