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isPartOf:"The journal of futures markets"
~subject:"Schätzung"
~subject:"Volatility"
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Schätzung
Volatility
Interest rate derivative
137
Zinsderivat
137
USA
100
United States
96
Public bond
56
Öffentliche Anleihe
56
Theorie
39
Theory
39
Hedging
36
Zins
26
Interest rate
25
CAPM
16
Volatilität
16
Yield curve
16
Zinsstruktur
16
Government securities
14
Staatspapier
14
Derivat
13
Derivative
13
Currency derivative
12
Währungsderivat
12
Arbitrage
11
Option pricing theory
8
Optionspreistheorie
8
Commodity exchange
7
Estimation
7
Forecast
7
Großbritannien
7
Prognose
7
United Kingdom
7
Warenbörse
7
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6
Einlagengeschäft
6
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6
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6
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Article
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English
19
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Bali, Turan G.
2
Wu, Tao L.
2
Camacho, Maximo
1
Chao, Wan-Ling
1
Chen, Carl R.
1
Chiarella, Carl
1
Christie-David, Rohan
1
Chuderewicz, Russell P.
1
Ederington, Louis H.
1
Ferland, René
1
Gauthier, Geneviève
1
Gurrola, Pedro
1
Herrerías, Renata
1
Huang, Ying
1
Hwang, Injun
1
Kim, Changki
1
Kim, Jeong-Hoon
1
Kim, Myeong Hyeon
1
Koch, Timothy W.
1
Lalancette, Simon
1
Lee, Jae-ha
1
Lee, Yung-Hsin
1
Leung, Kwai S.
1
Liu, Xiaoxi
1
Miao, Daniel Wei-Chung
1
Ng, Hon Y.
1
Simon, David P.
1
Sultan, Jahangir
1
Thomakos, Dimitrios D.
1
Tô, Thuy-duong
1
Upper, Christian
1
Wang, T'ao
1
Werner, Thomas
1
Wong, Hoi Ying
1
Wu, Jingtao
1
Xie, Jinming
1
Xu, Shengqiang
1
Yoon, Ji-Hun
1
Yu, Seok-Hyon
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The journal of futures markets
Applied economics
56
NBER working paper series
55
NBER Working Paper
54
Working paper / National Bureau of Economic Research, Inc.
48
Economic modelling
44
Applied financial economics
43
CESifo working papers
38
Journal of international money and finance
33
Journal of banking & finance
32
International review of economics & finance : IREF
30
The North American journal of economics and finance : a journal of financial economics studies
29
Discussion paper / Centre for Economic Policy Research
28
Journal of macroeconomics
28
Applied economics letters
27
Journal of money, credit and banking : JMCB
25
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
24
Finance and economics discussion series
23
Economics letters
22
Discussion paper / Deutsche Bundesbank
20
Working paper
20
International journal of economics and financial issues : IJEFI
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Working paper series / European Central Bank
18
Journal of empirical finance
17
The empirical economics letters : a monthly international journal of economics
17
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
17
Discussion papers / CEPR
16
Discussion paper
15
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
15
Bundesbank Series 1 Discussion Paper
14
IMF working papers
14
International journal of theoretical and applied finance
14
Journal of economic dynamics & control
14
Journal of monetary economics
14
Macroeconomic dynamics
14
Cogent economics & finance
13
International journal of economics and finance
13
Journal of central banking theory and practice
13
Discussion papers / Deutsches Institut für Wirtschaftsforschung
12
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ECONIS (ZBW)
19
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19
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1
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:
2
An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung
;
Lee, Yung-Hsin
;
Chao, Wan-Ling
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
Saved in:
3
Options on federal funds futures and interest rate volatility
Sultan, Jahangir
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 330-359
Persistent link: https://www.econbiz.de/10010218777
Saved in:
4
Multiscale stochastic volatility with the Hull-White rate of interest
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
;
Yu, Seok-Hyon
- In:
The journal of futures markets
34
(
2014
)
9
,
pp. 819-837
Persistent link: https://www.econbiz.de/10010507934
Saved in:
5
Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L.
- In:
The journal of futures markets
32
(
2012
)
8
,
pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
Saved in:
6
The zero lower bound and economic determinants of the volatility surface in the interest cap markets
Kim, Myeong Hyeon
;
Kim, Changki
;
Hwang, Injun
- In:
The journal of futures markets
37
(
2017
)
6
,
pp. 578-598
Persistent link: https://www.econbiz.de/10011950845
Saved in:
7
The sensitivity of interest rate options to monetary policy decisions : a regime-shift pricing approach
Ferland, René
;
Gauthier, Geneviève
;
Lalancette, Simon
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 66-87
Persistent link: https://www.econbiz.de/10011567568
Saved in:
8
Stochastic skew in the interest rate cap market
Leung, Kwai S.
;
Ng, Hon Y.
;
Wong, Hoi Ying
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
Saved in:
9
A random field LIBOR market model
Wu, Tao L.
;
Xu, Shengqiang
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 580-606
Persistent link: https://www.econbiz.de/10010371410
Saved in:
10
Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G.
- In:
The journal of futures markets
20
(
2000
)
8
,
pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
Saved in:
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