Predictive power of the implied volatility term structure in the fixed-income market
Ren-Raw Chen, Pei-Lin Hsieh, Jeffrey Huang, Xiaowei Li
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Ren-Raw ; Hsieh, Pei-Lin ; Huang, Jeffrey ; Li, Xiaowei |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 3, p. 349-383
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| Subject: | CHH model | excess bond return | LIBOR market | yield curve | Zinsstruktur | Yield curve | Volatilität | Volatility | Anleihe | Bond | Kapitaleinkommen | Capital income | Theorie | Theory | Zinsderivat | Interest rate derivative | Prognoseverfahren | Forecasting model | Rentenmarkt | Bond market | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22386 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014293073