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isPartOf:"The journal of futures markets"
~isPartOf:"Finance and economics discussion series"
~isPartOf:"NBER Working Paper"
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Search: subject_exact:"Interest rate linkage"
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Yield curve
58
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58
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The journal of futures markets
Finance and economics discussion series
NBER Working Paper
Journal of banking & finance
220
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140
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117
Journal of financial economics
116
International journal of theoretical and applied finance
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Journal of econometrics
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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1
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
2
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
3
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
4
EPU spillovers and sovereign CDS spreads : a cross-country study
Gong, Yuting
;
He, Zhongzhi
;
Xue, Wenjun
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1770-1806
Persistent link: https://www.econbiz.de/10014433010
Saved in:
5
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
6
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
7
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
8
A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
9
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
10
Analyzing oil futures with a dynamic Nelson-Siegel model
Grønborg, Niels S.
;
Lunde, Asger
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 153-173
Persistent link: https://www.econbiz.de/10011568059
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