Similar Search Results

Value at Risk Calculations, Extreme Events, and Tail Estimation

Neftci, Salih N. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 23-38

Persistent link: https://www.econbiz.de/10005960433

An introduction to the mathematics of financial derivatives

Neftci, Salih N.; Jorion, Philippe - In: Journal of economic literature 36 (1998) 1, pp. 255

Persistent link: https://www.econbiz.de/10006848703

Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?

Neftci, Salih N. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 215-224

Persistent link: https://www.econbiz.de/10008224921

Swap curve dynamics across markets: Case of US dollar versus HK dollar

Huang, Ying; Neftci, Salih N.; Guo, Feng - In: Journal of international financial markets, … 18 (2008) 1, pp. 79-93

Persistent link: https://www.econbiz.de/10007893947

Why financial markets do not use econometric forecasting : foreign exchange exotics, central banks and position taking

Neftci, Salih N. - In: Papers in money, macroeconomics and finance : … 75 (2007), pp. 1-20

Persistent link: https://www.econbiz.de/10009938383

ESTIMATING THE TERM STRUCTURE OF INTEREST RATE VOLATILITY IN EXTREME VALUES

Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14

Persistent link: https://www.econbiz.de/10007173956

Disturbing extremal behavior of spot rate dynamics

Bali, Turan G.; Neftci, Salih N. - In: Journal of empirical finance 10 (2003) 4, pp. 455-478

Persistent link: https://www.econbiz.de/10007232877

Swap curve dynamics across markets: Case of US dollar versus HK dollar

Huang, Ying; Neftci, Salih N.; Guo, Feng - In: Journal of international financial markets, … 18 (2008) 1, pp. 79-94

Persistent link: https://www.econbiz.de/10008880037

Is there a cyclical time unit?

Neftci, Salih N. - In: Carnegie-Rochester Conference Series on Public Policy 24 (1986) 1, pp. 11-48

Persistent link: https://www.econbiz.de/10005197168

Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets

Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...

Persistent link: https://www.econbiz.de/10005826508