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~subject:"Volatility"
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Volatility
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Estimation
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1
Batten, Jonathan A.
1
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1
Henry, Ólan Thomas John
1
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Applied financial economics
Journal of banking & finance
24
The journal of futures markets
23
International journal of theoretical and applied finance
17
Journal of financial economics
15
Working paper / National Bureau of Economic Research, Inc.
15
NBER working paper series
14
The review of financial studies
13
Journal of empirical finance
12
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12
Journal of international money and finance
11
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10
Mathematical finance : an international journal of mathematics, statistics and financial theory
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of fixed income
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Economics letters
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
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International review of economics & finance : IREF
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International review of financial analysis
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Journal of international financial markets, institutions & money
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Staff reports / Federal Reserve Bank of New York
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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CREATES research paper
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1
The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C.
- In:
Applied financial economics
24
(
2014
)
13/15
,
pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
Saved in:
2
Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki
;
Hamori, Shigeyuki
- In:
Applied financial economics
22
(
2012
)
10/12
,
pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
Saved in:
3
Estimating single factor jump diffusion interest rate models
Sorwar, Ghulam
- In:
Applied financial economics
21
(
2011
)
22/24
,
pp. 1679-1689
Persistent link: https://www.econbiz.de/10009385057
Saved in:
4
Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework
Batten, Jonathan A.
;
In, Francis Haeuck
- In:
Applied financial economics
16
(
2006
)
12
,
pp. 881-892
Persistent link: https://www.econbiz.de/10003377842
Saved in:
5
Volatility transmission across the term structure of swap markets : international evidence
Abad, Pilar
;
Novales, Alfonso
- In:
Applied financial economics
14
(
2004
)
14
,
pp. 1045-1058
Persistent link: https://www.econbiz.de/10002377770
Saved in:
6
A two-factor model of the German term structure of interest rates
Cassola, Nuno
;
Luís, Jorge Barros
- In:
Applied financial economics
13
(
2003
)
11
,
pp. 783-806
Persistent link: https://www.econbiz.de/10001804426
Saved in:
7
The volatility of US term structure term premia 1952 - 1991
Henry, Ólan Thomas John
- In:
Applied financial economics
9
(
1999
)
3
,
pp. 263-271
Persistent link: https://www.econbiz.de/10001454511
Saved in:
8
A decomposition of the term structure model of Heath, Jarrow and Morton
Guo, Chen
- In:
Applied financial economics
8
(
1998
)
2
,
pp. 111-118
Persistent link: https://www.econbiz.de/10001244130
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