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Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets

Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 367-391

Persistent link: https://www.econbiz.de/10010490403

What drives short rate dynamics? : a functional gradient descent approach

Audrino, Francesco - In: Computational economics 39 (2012) 3, pp. 315-335

Persistent link: https://www.econbiz.de/10009513144

Regime-switching univariate diffusion models of the short-term interest rate

Choi, Seungmoon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009513595

Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle

Wu, Tao L. - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 577-598

Persistent link: https://www.econbiz.de/10009388552

A full jump switching level GARCH model for short-term interest rate

Sheu, Her-jiun; Lee, Hsiang-tai - In: Applied financial economics 22 (2012) 4/6, pp. 479-489

Persistent link: https://www.econbiz.de/10009581297

Time-varying effects of changes in the interest rate and the RMB exchange rate on the stock market of China : evidence from the long-memory TVP-VAR model

Cao, Guangxi - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 230-248

Persistent link: https://www.econbiz.de/10009682499

Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model

Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7

This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the...

Persistent link: https://www.econbiz.de/10011450559

Short-horizon excess returns and exchange rate and interest rate effects

Joseph, Nathan Lael; Lambertides, Neophytos; Savva, … - In: Journal of international financial markets, … 37 (2015), pp. 54-76

Persistent link: https://www.econbiz.de/10011474975

Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps

Byun, Suk Joon; Chang, Ki Cheon - In: International review of financial analysis 40 (2015), pp. 88-102

Persistent link: https://www.econbiz.de/10011475633

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003011852