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The implied volatility term structure of stock index options
Mixon, Scott - In: Journal of empirical finance 14 (2007) 3, pp. 333-354
Persistent link: https://www.econbiz.de/10003609837
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Essays on monetary and international macroeconomics
Traczyk, Adam - 2011
Persistent link: https://www.econbiz.de/10009229846
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The expectations hypothesis of the term structure of interest rates, open interest rate parity and central bank policy reaction
Kugler, Peter - In: Economics letters 66 (2000) 2, pp. 209-214
Persistent link: https://www.econbiz.de/10001440030
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Interest expectations and exchange rates news
Cavaglia, Stefano M. (contributor) - In: Empirical economics : a journal of the Institute for … 23 (1998) 4, pp. 525-534
Persistent link: https://www.econbiz.de/10001254534
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Interest Expectations and Exchange Rates News
Cavaglia, Stefano; Koedijk, Kees C. G.; Verschoor, … - 1999
Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, "news" and risk premia. "News" on interest differentials enters significantly in equations...
Persistent link: https://www.econbiz.de/10014206493
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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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Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model : international evidence
Babbs, Simon H.; Nowman, K. Ben - In: Asia-Pacific financial markets 5 (1998) 2, pp. 159-183
Persistent link: https://www.econbiz.de/10001372065
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Is the short rate drift actually nonlinear?
Chapman, David A.; Pearson, Neil D. - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 355-388
Persistent link: https://www.econbiz.de/10001496998
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Empirical analysis of short-term Eurocurrency rates : evidence from a transfer function error correction model
Chiang, Thomas C. - In: Journal of economics & business 47 (1995) 4, pp. 335-351
Persistent link: https://www.econbiz.de/10001191276