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Interest Rate Volatility and Risk Management : Evidence from CBOE Treasury Options
Markellos, Raphael N. - 2013
This paper investigates US Treasury market volatility and develops new ways of dealing with the underlying interest … rate volatility risk. We adopt an innovative approach which is based on a class of model-free interest rate volatility (VXI …) indices we derive from options traded on the CBOE. The empirical analysis indicates substantial interest rate volatility risk …
Persistent link: https://www.econbiz.de/10013094876
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Modeling volatility in dynamic term structure models
Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Journal of financial economics 161 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015075688
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Do Chinese retail option traders know anything about market volatility?
Liu, Ming-hua; Rangan, Nanda K. - In: Frontiers of business research in China : selected … 6 (2012) 4, pp. 508-526
Persistent link: https://www.econbiz.de/10009688736
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Does deliverability enhance the value of US treasury bonds?
Kuipers, David R. - In: The journal of futures markets 28 (2008) 3, pp. 264-274
Persistent link: https://www.econbiz.de/10003699319
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What are the odds? : option-based forecasts of FOMC target changes
Emmons, William R.; Lakdawala, Aeimit K.; Neely, … - In: Review / Federal Reserve Bank of St. Louis 88 (2006) 6, pp. 543-561
Persistent link: https://www.econbiz.de/10003392449
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The effect of macroeconomic news on beliefs and preferences : evidence from the options market
Beber, Alessandro; Brandt, Michael W. - In: Journal of monetary economics 53 (2006) 8, pp. 1997-2039
Persistent link: https://www.econbiz.de/10003394391
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Y2K options and the liquidity premium in treasury markets
Sundaresan, Suresh M.; Wang, Zhenyu - In: The review of financial studies 22 (2009) 3, pp. 1021-1056
Persistent link: https://www.econbiz.de/10003827705
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Y2K options and the liquidity premium in treasury bond markets
Sundaresan, Suresh M. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003400261
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Options on bond futures : isolating the risk premium
Tompkins, Robert G. - In: The journal of futures markets 23 (2002) 2, pp. 169-215
Persistent link: https://www.econbiz.de/10001762673
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The effect of macroeconomic news on beliefs and preferences : evidence from the options market
Beber, Alessandro; Brandt, Michael W. - 2003
Persistent link: https://www.econbiz.de/10001790830