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Macroeconomic news and stock-bond comovement

Duffee, Greg - In: Review of finance : journal of the European Finance … 27 (2023) 5, pp. 1859-1882

Persistent link: https://www.econbiz.de/10014391611

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Interest Rate Futures Markets and Capital Market Theory : Theoretical Concepts and Empirical Evidence

Kobold, Klaus - 2011

Persistent link: https://www.econbiz.de/10014509647

FLOATING RATE NOTES / BY GEORGES UGEUX. PREFACE BY MICHAEL VON CLEMM

Ugeux, Georges - 1981

Persistent link: https://www.econbiz.de/10004740826

Floating rate notes

Ugeux, Georges - 1985 - 2. ed.

Persistent link: https://www.econbiz.de/10004740910

Pricing interest rate derivates under different interest rate modeling : a critical and empirical comparison

De Simone, Antonio - In: Investment management and financial innovations 7 (2010) 2, pp. 49-58

Persistent link: https://www.econbiz.de/10003968762

Determinants of Interest Rates on Tax-Exempt Hospital Bonds

Goldman, Fred - 1992

debt by encouraging bond issues to contain call features. Are the interest rate effects associated with these policies …

Persistent link: https://www.econbiz.de/10012474831

Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes

Fleckenstein, Matthias - 2018

We identify a significant premium in the prices of Treasury floating rate notes (FRNs) relative to both Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and differs from the liquidity and on-the-run premia in Treasury security prices previously...

Persistent link: https://www.econbiz.de/10012480867

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...

Persistent link: https://www.econbiz.de/10012705391

Interest rate markets : a practical approach to fixed income

Jha, Siddhartha - 2011 - Online-Ausg.

Instruments -- Discounting -- Bond Pricing -- Yield Curve -- Duration -- Convexity -- Repo Markets -- Bid Offer -- Calculating … Profit/Loss of a Bond -- Carry -- Forward Rates -- Rolldown/Slide -- Curves and Spreads -- Butterfly Trades -- Summary …-Efficient Directional Trades -- Relative Value Trades -- Setting Up Relative Value Trades -- Treasury Bond Relative Value-Par Curve -- Other …

Persistent link: https://www.econbiz.de/10012683449