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subject:"Germany"
~isPartOf:"The journal of futures markets"
~subject:"CAPM"
~subject:"Volatility"
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Germany
CAPM
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Interest rate derivative
137
Zinsderivat
137
USA
91
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87
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55
Öffentliche Anleihe
55
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Koch, Timothy W.
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The journal of futures markets
International journal of theoretical and applied finance
11
Advances in futures and options research : a research annual
10
The journal of finance : the journal of the American Finance Association
9
The journal of fixed income
9
The review of financial studies
7
Discussion paper / B
6
Europäische Hochschulschriften / 5
6
Journal of banking & finance
6
Report / Erasmus Center for Financial Research, Erasmus University
6
Die Bank
5
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
5
Journal of financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Review of derivatives research
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The European journal of finance
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Working paper
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CoFE discussion papers
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Finance and stochastics
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Gabler Edition Wissenschaft
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Review of futures markets
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The journal of computational finance
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Applied financial economics
3
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Bundesbank Series 1 Discussion Paper
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International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Research paper series / Swiss Finance Institute
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SFB 649 discussion paper
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Skrifter fra Institut for Virksomhedsledelse, Odense Universitet
3
Working paper series / European Central Bank ; Eurosystem
3
Advances in Pacific Basin financial markets
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
6
Maturity effects in the Mexican interest rate futures market
Gurrola, Pedro
;
Herrerías, Renata
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10008908357
Saved in:
7
Determinants of Japanese yen interest rate swap spreads : evidence from a smooth transition vector autoregressive model
Huang, Ying
;
Chen, Carl R.
;
Camacho, Maximo
- In:
The journal of futures markets
28
(
2008
)
1
,
pp. 82-107
Persistent link: https://www.econbiz.de/10003746341
Saved in:
8
Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns
Thomakos, Dimitrios D.
;
Wang, T'ao
;
Wu, Jingtao
; …
- In:
The journal of futures markets
28
(
2008
)
9
,
pp. 815-844
Persistent link: https://www.econbiz.de/10003746355
Saved in:
9
In search of the convexity adjustment : evidence from the sterling futures and IMM FRA markets
Poskitt, Russell
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 617-633
Persistent link: https://www.econbiz.de/10003715112
Saved in:
10
Time variation in the tail behavior of bund future returns
Werner, Thomas
;
Upper, Christian
- In:
The journal of futures markets
24
(
2004
)
4
,
pp. 387-398
Persistent link: https://www.econbiz.de/10002005386
Saved in:
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