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Interest rate convergence in euro-candidate countries : volatility dynamics of sovereign bond yields
Gabrisch, Hubert; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 69-85
Persistent link: https://www.econbiz.de/10009238982
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Fractional integration and the volatility of UK interest rates
Coleman, Simeon; Sirichand, Kavita - 2011
Persistent link: https://www.econbiz.de/10009260922
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Interest rates liberalization or economy control : the case of the Chinese banking system
Mihai-Yiannaki, Simona; Rios-Morales, Ruth - In: Journal of transnational management : the official … 20 (2015) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10011392869
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Time varying price discovery
Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics letters 126 (2015), pp. 18-21
Persistent link: https://www.econbiz.de/10011376376
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707
Persistent link: https://www.econbiz.de/10009724605
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Nonlinearities in CDS-bond basis
Akdoğan, Kurmaș; Gülenay Chadwick, Meltem - 2011
Theoretically, the risk premium captured by Credit Default Swap (CDS) and bond yield spreads should be equal. However, data reveals a significant difference between the two spreads. We explore the presence of a mean-reverting behavior in this difference (CDS-bond basis), for selected emerging...
Persistent link: https://www.econbiz.de/10009407686
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A research on interbank loan interest rate fluctuation characteristics and the VaR risk of China's commercial banks
Wang, Baoqian; Wang, Cheng; Zhang, Xikun - In: Modern economy 3 (2012) 6, pp. 759-765
Persistent link: https://www.econbiz.de/10009720476
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Nonlinearities in CDS-bond basis
Akdoğan, Kurmaş; Gülenay Chadwick, Meltem - In: Emerging markets finance & trade : a journal of the … 49 (2013) 3, pp. 6-19
Persistent link: https://www.econbiz.de/10010200891
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Asymmetric correlation of sovereign bond yield dynamics in the Eurozone
Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789
Persistent link: https://www.econbiz.de/10010341632