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Accurate of VaR calculated using empirical models of the term structure
Abad, Pilar; Benito, Sonia - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 811-832
Persistent link: https://www.econbiz.de/10003911243
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An error correction factor model of term structure slopes in international swap markets
Abad, Pilar; Novales, Alfonso - In: Journal of international financial markets, … 15 (2005) 3, pp. 229-254
Persistent link: https://www.econbiz.de/10002922173
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Volatility transmission across the term structure of swap markets : international evidence
Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058
Persistent link: https://www.econbiz.de/10002377770
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Information opacity and corporate bond returns : the dynamics of split ratings
Abad, Pilar; Ferreras, Rodrigo; Robles-Fernández, M. … - In: Journal of international financial markets, … 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012495879