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No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - 2013
Persistent link: https://www.econbiz.de/10010387433
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Expectations hypothesis in the context of debt crisis : evidence from five major EU countries
Kukuritakēs, Minōas - In: Research in economics : an international review of economics 67 (2013) 3, pp. 243-258
Persistent link: https://www.econbiz.de/10010202962
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Credit default swap spreads and variance risk premia
Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746
Persistent link: https://www.econbiz.de/10010126846
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Macroeconomic fundamentals and the exchange rate dynamics : a no-arbitrage macro-finance approach
Ying, Weiwei; Li, Junye - In: Journal of international money and finance 41 (2014), pp. 46-64
Persistent link: https://www.econbiz.de/10010338744
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …
Persistent link: https://www.econbiz.de/10010338764
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Effects of speculation and interest rates in a “carry trade” model of commodity prices
Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112
Persistent link: https://www.econbiz.de/10010371827
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Can spanned term structure factors drive stochastic yield volatility?
Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - 2014
Persistent link: https://www.econbiz.de/10010256285
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Asset pricing with regime-dependent preferences and learning
Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013
of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …
Persistent link: https://www.econbiz.de/10010256362
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Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve
Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015
Persistent link: https://www.econbiz.de/10011437580