Treasury yield implied volatility and real activity
Martijn Cremers, Matthias Fleckenstein, Priyank Gandhi
| Year of publication: |
2021
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|---|---|
| Authors: | Cremers, Martijn ; Fleckenstein, Matthias ; Gandhi, Priyank |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 140.2021, 2, p. 412-435
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| Subject: | Forecasting | Implied volatility | Macroeconomic activity | Macroeconomic uncertainty | Treasury futures and options | Volatilität | Volatility | Optionsgeschäft | Option trading | Staatspapier | Government securities | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve | Schätzung | Estimation | Derivat | Derivative | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2020.12.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012650450