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Polynomial approximation of discounted moments

Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - In: Finance and stochastics 29 (2025) 1, pp. 63-95

Persistent link: https://www.econbiz.de/10015394774

Asymmetric short-rate model without lower bound

Vrins, Frédéric; Wang, Linqi - In: Quantitative finance 23 (2023) 2, pp. 279-295

Persistent link: https://www.econbiz.de/10014232631

Integrating macroeconomic and technical indicators into forecasting the stock market : a data-driven approach

Latif, Saima; Aslam, Faheem; Ferreira, Paulo; Iqbal, Sohail - In: Economies : open access journal 13 (2025) 1, pp. 1-28

index, geopolitical risk, and shadow short rate, with ten technical indicators. We propose three hybrid deep learning models …

Persistent link: https://www.econbiz.de/10015207282

Monetary policy and currency variance risk premia

Dossani, Asad - In: Research in international business and finance 69 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015052820

A shadow rate without a lower bound constraint

De Rezende, Rafael B.; Ristiniemi, Annukka - In: Journal of banking & finance 146 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014248193

A new measure of price sensitivity to interest rate changes

Stádník, Bohumil - In: International journal of economics and business … 29 (2025) 3/5, pp. 264-284

Persistent link: https://www.econbiz.de/10015405046

Options on bonds : implied volatilities from affine short-rate dynamics

Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216

Persistent link: https://www.econbiz.de/10013278980

Expected and unexpected jumps in the overnight rate : consistent management of the libor transition

Backwell, Alex; Hayes, Joshua - In: Journal of banking & finance 145 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013538970

A shadow rate without a lower bound constraint

De Rezende, Rafael B.; Ristiniemi, Annukka - 2018

We propose a shadow rate that measures the expansionary (contractionary) interest rate effects of unconventional monetary policies that are present when the lower bound is not binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro-area and the UK, and find...

Persistent link: https://www.econbiz.de/10011943325

A shadow rate without a lower bound constraint

De Rezende, Rafael B.; Ristiniemi, Annukka - 2018

Persistent link: https://www.econbiz.de/10011868269

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