Interest rate volatility and risk management : evidence from CBOE Treasury options
Raphael N. Markellos, Dimitris Psychoyios
| Year of publication: |
2018
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|---|---|
| Authors: | Markellos, Raphaēl N. ; Psychoyios, Dimitris |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 68.2018, p. 190-202
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| Subject: | Interest rate volatility | Level effect | Macroeconomic news | Unspanned stochastic volatility | Volatility indices | Volatility risk premium | Volatilität | Volatility | Zins | Interest rate | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Wirkungsanalyse | Impact assessment | Staatspapier | Government securities | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2017.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012034535