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Option valuation with long-run and short-run volatility components

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297

Persistent link: https://www.econbiz.de/10003833351

Conditional volatility in affine term-structure models : evidence from Treasury and swap markets

Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318

Persistent link: https://www.econbiz.de/10003833577

A dynamic approach to interest rate convergence in selected euro-candidate countries

Gabrisch, Hubert; Orłowski, Lucjan T. - 2009

We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we empirically test volatility dynamics of the tenyear sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields...

Persistent link: https://www.econbiz.de/10003839554

Level-ARCH short rate models with regime switching : bivariate modeling of US and European short rates

Christiansen, Charlotte - In: International review of financial analysis 17 (2008) 5, pp. 925-948

Persistent link: https://www.econbiz.de/10003792319

Federal budget deficits and long-term interest rates in USA

Kiani, Khurshid M. - In: The quarterly review of economics and finance : journal … 49 (2009) 1, pp. 74-84

Persistent link: https://www.econbiz.de/10003810582

Gradualism, transparency and the improved operational framework : a look at overnight volatility transmission

Colarossi, Silvio; Zaghini, Andrea - In: International finance 12 (2009) 2, pp. 151-170

Persistent link: https://www.econbiz.de/10003884547

Yield curve predictability, regimes, and macroeconomic information : a data-driven approach

Audrino, Francesco; Filipova, Kameliya - 2009

Persistent link: https://www.econbiz.de/10003885820

Can interest rate volatility be extracted from the cross section of bond yields?

Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, … - In: Journal of financial economics 94 (2009) 1, pp. 47-66

Persistent link: https://www.econbiz.de/10003891547

Corporate governance and volatility in the capital markets : Brazil case study

Rogers, Pablo; Securato, José Roberto - In: Corporate ownership & control : international … 7 (2009/10) 1, pp. 40-51

Persistent link: https://www.econbiz.de/10003900228

Forecasting the term structure of interest rates for Turkey : a factor analysis approach

Alper, C. Emre; Kazimov, K.; Akdemir, A. - In: Applied financial economics 17 (2007) 1/3, pp. 77-85

Persistent link: https://www.econbiz.de/10003427011