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Capital market openness and volatility : an investigation of five Sub-Saharan treasury bill rates
Charteris, Ailie Heather; Strydom, Barry - In: International journal of emerging markets 11 (2016) 3, pp. 438-459
Persistent link: https://www.econbiz.de/10011588184
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Estimation of the term structure of CDS-adjusted risk-free interest rates
Kagraoka, Yusho; Moussa, Zakaria - In: The journal of fixed income 24 (2014) 2, pp. 29-44
Persistent link: https://www.econbiz.de/10011660672
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The term structure of government debt uncertainty
Mele, Antonio; Obayashi, Yoshiki; Yang, Shihao - 2019
Persistent link: https://www.econbiz.de/10012181125
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Risk-free interest rates
Binsbergen, Jules H. van; Diamond, William; Grotteria, Marco - 2019
Persistent link: https://www.econbiz.de/10012181456
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Macroeconomic uncertainty and the distant forward-rate slope
Connolly, Robert A.; Dubofsky, David A.; Stivers, … - In: Journal of empirical finance 48 (2018), pp. 140-161
Persistent link: https://www.econbiz.de/10012109285
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Market timing under limited information : an empirical investigation in US Treasury market
Tong, Guoshi - In: Annals of economics and finance 18 (2017) 2, pp. 291-322
Persistent link: https://www.econbiz.de/10012109990
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A new perspective on Gaussian dynamic term structure models
Joslin, Scott; Singleton, Kenneth J.; Zhu, Haoxiang - In: The review of financial studies 24 (2011) 3, pp. 926-970
Persistent link: https://www.econbiz.de/10008934088
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Adaptive interest rate modelling
Guo, Mengmeng; Härdle, Wolfgang - 2010
A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...
Persistent link: https://www.econbiz.de/10003973636
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Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162
Persistent link: https://www.econbiz.de/10011797776
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Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation
Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62
Persistent link: https://www.econbiz.de/10010196415