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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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Consumption and the interest rate : a changing dynamic?
Nordström, Martin - In: Applied economics 52 (2020) 51, pp. 5564-5578
Persistent link: https://www.econbiz.de/10012307780
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - In: Journal of banking & finance 79 (2017), pp. 74-94
Persistent link: https://www.econbiz.de/10011815138
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Bond and option prices with permanent shocks
Zoubi, Haitham al- - In: Journal of empirical finance 53 (2019), pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
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Volatility, estimates of the short-term interest rate with an application to German data
Dankenbring, Henning - In: Kredit und Kapital 33 (2000) 4, pp. 548-570
Persistent link: https://www.econbiz.de/10001554586
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
Persistent link: https://www.econbiz.de/10000997987
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Unspanned Stochastic Volatility Term Structure Model Applied in Negative Interest Rate Environment
Sedlak, Jan - 2016
satisfying regulatory criteria, a model following the Heath-Jarrow-Morton framework with Unspanned Stochastic Volatility is … implemented. The model is constructed to match shocks to the level, slope and curvature of the term structure. Estimation is …
Persistent link: https://www.econbiz.de/10012989968
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Can unspanned stochastic volatility models explain the cross section of bond volatilities?
Joslin, Scott - In: Management science : journal of the Institute for … 64 (2018) 4, pp. 1707-1726
Persistent link: https://www.econbiz.de/10011855690
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Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - 2021
volatility model, for which we detail an efficient estimation strategy based on Gaussian mixture sampling and a linearization of …We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the … the volatility process. We apply this approach to six currency pairs over the period from January 1999 to December 2017 …
Persistent link: https://www.econbiz.de/10013311091