Rate fears gauges and the dynamics of fixed income and equity volatilities

Antonio Mele; Yoshiki Obayashi; Catherine Shalen

Year of publication:	2015
Authors:	Mele, Antonio ; Obayashi, Yoshiki ; Shalen, Catherine T.
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 52.2015, p. 256-265
Subject:	Interest rate volatility \| Interest rate variance swaps \| Model-free pricing \| VIX index \| SRVX index \| Basis point variance \| Variance risk-premiums \| Volatilität \| Volatility \| Zins \| Interest rate \| Swap \| Aktienindex \| Stock index \| Portfolio-Management \| Portfolio selection \| Zinsstruktur \| Yield curve \| Theorie \| Theory \| Zinsderivat \| Interest rate derivative \| Risikoprämie \| Risk premium \| Anleihe \| Bond

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