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Alternative tests of rational expectations models : the case of the term structure

Shiller, Robert J. - 1980

Persistent link: https://www.econbiz.de/10009573118

On expectations, term premiums and the volatility of long-term interest rates

Pesando, James E. - 1980

Persistent link: https://www.econbiz.de/10009558819

The deviations from interest rate parity along the term structure of forward exchange rates

Giovannini, Alberto - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 116 (1980) 2, pp. 225-234

Persistent link: https://www.econbiz.de/10015096207

Estimating the term structure of interest rates for non homogeneous bonds

Houglet, Michel Xavier - 1980

Persistent link: https://www.econbiz.de/10002981777

The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components

Han, Qian; Zhao, Bin

We develop the Nelson-Siegel model in the context of option-implied volatility term structure and study the time-series of three volatility components in the model. We show that these components, corresponding to the level, slope and curvature of the volatility term structure, can be interpreted...

Persistent link: https://www.econbiz.de/10010892147

ADVANCED ASSET PRICING THEORY

Ma, Chenghu - World Scientific Publishing Co. Pte. Ltd.

structure of interest rates. The merits and limitations are expounded with respect to allocation and information market … and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term …

Persistent link: https://www.econbiz.de/10011143724