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Search: subject_exact:"Fristigkeitsstruktur der Zinssätze"
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Yield curve
14,368
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Rudebusch, Glenn D.
103
Christensen, Jens H. E.
66
Akram, Tanweer
63
Favero, Carlo A.
53
Bekaert, Geert
51
Wright, Jonathan H.
48
Wu, Jing Cynthia
47
Diebold, Francis X.
44
Monfort, Alain
44
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43
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41
Hamilton, James D.
41
Krippner, Leo
41
Chernov, Mikhail
40
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39
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38
Renne, Jean-Paul
38
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38
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37
Kim, Don H.
37
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36
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35
Kaminska, Iryna
35
Schlögl, Erik
35
Wei, Min
35
Sarno, Lucio
33
Dewachter, Hans
32
Friedman, Benjamin M.
32
Goldstein, Robert S.
32
Singleton, Kenneth J.
32
Filipović, Damir
31
Joshi, Mark S.
31
Gouriéroux, Christian
30
Jarrow, Robert A.
30
Meldrum, Andrew
30
Bauer, Michael D.
29
Lemke, Wolfgang
29
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27
Guidolin, Massimo
27
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27
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273
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13
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13
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12
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8
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8
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7
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6
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5
Rodney L. White Center for Financial Research
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4
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Springer Fachmedien Wiesbaden
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
4
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3
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3
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2
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2
Institute of Finance and Accounting <London>
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NBER working paper series
269
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237
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221
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211
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140
Discussion paper / Centre for Economic Policy Research
132
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119
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116
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111
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110
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109
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104
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102
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96
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93
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88
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87
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85
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83
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77
Economic modelling
73
Journal of monetary economics
73
Journal of empirical finance
72
International review of financial analysis
69
Mathematical finance : an international journal of mathematics, statistics and financial theory
69
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68
Journal of economic dynamics & control
68
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68
Applied economics letters
61
Discussion papers / CEPR
61
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61
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60
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59
CESifo working papers
58
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58
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56
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56
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ECONIS (ZBW)
14,368
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4951
Unobservable systematic risk, economic activity and stock market
De Santis, Roberto A.
- In:
Journal of banking & finance
97
(
2018
),
pp. 51-69
Persistent link: https://www.econbiz.de/10011967305
Saved in:
4952
The joint dynamics of sovereign ratings and government bond yields
Shagi, Makram el-
;
Schweinitz, Gregor von
- In:
Journal of banking & finance
97
(
2018
),
pp. 198-218
Persistent link: https://www.econbiz.de/10011967350
Saved in:
4953
An analysis of the Solvency II regulatory framework's Smith-Wilson model for the term structure of risk-free interest rates
Løchte Jørgensen, Peter
- In:
Journal of banking & finance
97
(
2018
),
pp. 219-237
Persistent link: https://www.econbiz.de/10011967351
Saved in:
4954
Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Chiang, Mi-Hsiu
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
Saved in:
4955
Carry
Koijen, Ralph S. J.
;
Moskowitz, Tobias J.
;
Pedersen, …
- In:
Journal of financial economics
127
(
2018
)
2
,
pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
Saved in:
4956
The effect of ECB forward guidance on the term structure of interest rates
Hubert, Paul
;
Labondance, Fabien
- In:
International journal of central banking : IJCB
14
(
2018
)
5
,
pp. 193-222
Persistent link: https://www.econbiz.de/10011968880
Saved in:
4957
A shadow policy rate to calibrate U.S. monetary policy at the zero lower bound
Lombardi, Marco
;
Zhu, Feng
- In:
International journal of central banking : IJCB
14
(
2018
)
5
,
pp. 305-346
Persistent link: https://www.econbiz.de/10011968885
Saved in:
4958
Disagreement about inflation and the yield curve
Ehling, Paul
;
Gallmeyer, Michael F.
;
Heyerdahl-Larsen, …
- In:
Journal of financial economics
127
(
2018
)
3
,
pp. 459-484
Persistent link: https://www.econbiz.de/10011968936
Saved in:
4959
Consistent recalibration of yield curve models
Harms, Philipp
;
Stefanovits, David
;
Teichmann, Josef
; …
- In:
Mathematical finance : an international journal of …
28
(
2018
)
3
,
pp. 757-799
Persistent link: https://www.econbiz.de/10011969080
Saved in:
4960
A note on the long rate in factor models of the term structure
Kort, Jan de
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 656-667
Persistent link: https://www.econbiz.de/10011969092
Saved in:
4961
Arbitrage-free XVA
Bichuch, Maxim
;
Capponi, Agostino
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 582-620
Persistent link: https://www.econbiz.de/10011969094
Saved in:
4962
Quantitative easing auctions of Treasury bonds
Song, Zhaogang
;
Zhu, Haoxiang
- In:
Journal of financial economics
128
(
2018
)
1
,
pp. 103-124
Persistent link: https://www.econbiz.de/10011969112
Saved in:
4963
Dynamic defaultable term structure modeling beyond the intensity paradigm
Gehmlich, Frank
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 211-239
Persistent link: https://www.econbiz.de/10011969156
Saved in:
4964
Social discounting and the long rate of interest
Brody, Dorje C.
;
Hughston, Lane P.
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 306-334
Persistent link: https://www.econbiz.de/10011969159
Saved in:
4965
The sovereign yield curve and fiscal behaviour in China
Yan, Yifeng
;
Guo, Ju'e
- In:
Pacific economic review
23
(
2018
)
2
,
pp. 271-295
Persistent link: https://www.econbiz.de/10011969597
Saved in:
4966
Interest rate volatility, the yield curve, and the macroeconomy
Joslin, Scott
;
Konchitchki, Yaniv
- In:
Journal of financial economics
128
(
2018
)
2
,
pp. 344-362
Persistent link: https://www.econbiz.de/10011971071
Saved in:
4967
The impact of oil price shocks on the term structure of interest rates
Ioannidis, Christos
;
Ka, Kook
- In:
Energy economics
72
(
2018
),
pp. 601-620
Persistent link: https://www.econbiz.de/10011972473
Saved in:
4968
A unified Willow tree framework for one-factor short-rate models
Wang, Guangguang
;
Xu, Wei
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 33-54
Persistent link: https://www.econbiz.de/10011941393
Saved in:
4969
How the syndicated loan market is dealing with the potential replacement of LIBOR
Rutenberg, Stephen A.
;
Piazza, Fiammetta S.
- In:
The real estate finance journal
34
(
2018
)
1
,
pp. 6-10
Persistent link: https://www.econbiz.de/10011941562
Saved in:
4970
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, Fred Espen
;
Krühner, Paul
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 327-366
Persistent link: https://www.econbiz.de/10011945791
Saved in:
4971
Long-term factorization in Heath-Jarrow-Morton models
Qin, Likuan
;
Linetsky, Vadim
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 621-641
Persistent link: https://www.econbiz.de/10011945879
Saved in:
4972
Explosion in the quasi-Gaussian HJM model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 643-666
Persistent link: https://www.econbiz.de/10011945882
Saved in:
4973
Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo
;
Severino, Federico
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595
Saved in:
4974
Residual inflation risk
Illeditsch, Philipp Karl
- In:
Management science : journal of the Institute for …
64
(
2018
)
11
,
pp. 5289-5314
Persistent link: https://www.econbiz.de/10011947163
Saved in:
4975
Performance of bond ladder strategies : evidence from a period of low interest rates
Schmidhammer, Christoph
- In:
Credit and capital markets : Kredit und Kapital
51
(
2018
)
3
,
pp. 421-443
Persistent link: https://www.econbiz.de/10011948470
Saved in:
4976
Bank net interest margins, the yield curve, and the 2007-2009 financial crisis
Egly, Peter V.
;
Johnk, David W.
;
Mollick, André Varella
- In:
Review of financial economics : RFE
36
(
2018
)
1
,
pp. 12-32
Persistent link: https://www.econbiz.de/10011948551
Saved in:
4977
Warrant price responses to credit spread changes : fact or fiction?
Schertler, Andrea
;
Stoerch, Saskia
- In:
Review of financial economics : RFE
36
(
2018
)
3
,
pp. 206-219
Persistent link: https://www.econbiz.de/10011948588
Saved in:
4978
S&P 500 Index revisions and credit spreads
Baran, Lindsay
;
Li, Ying
;
Liu, Chang
;
Liu, Zilong
;
Pu, …
- In:
Review of financial economics : RFE
36
(
2018
)
4
,
pp. 348-363
Persistent link: https://www.econbiz.de/10011948628
Saved in:
4979
The natural yield curve : its concept and measurement
Imakubo, Kei
;
Kojima, Haruki
;
Nakajima, Jouchi
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 551-572
Persistent link: https://www.econbiz.de/10011949848
Saved in:
4980
Has the predictability of the yield spread changed?
Kim, Dong-heon
;
Park, Euihwan
- In:
Seoul journal of economics
31
(
2018
)
4
,
pp. 449-463
Persistent link: https://www.econbiz.de/10011950676
Saved in:
4981
Credit risk in the euro area
Gilchrist, Simon
;
Mojon, Benoît
- In:
The economic journal : the journal of the Royal …
128
(
2018
)
608
,
pp. 118-158
Persistent link: https://www.econbiz.de/10011951239
Saved in:
4982
Determinants of municipal loan spreads : empirical evidence from Switzerland
Sigrist, Fabio
;
Köchli, Patrick
;
Lengwiler, Christoph
- In:
Financial markets and portfolio management
32
(
2018
)
2
,
pp. 143-166
Persistent link: https://www.econbiz.de/10011951941
Saved in:
4983
Oil prices implied volatility or direction : which matters more to financial markets?
Dupoyet, Brice V.
;
Shank, Corey A.
- In:
Financial markets and portfolio management
32
(
2018
)
3
,
pp. 275-295
Persistent link: https://www.econbiz.de/10011951962
Saved in:
4984
That's interesting
Teagarden, Mary Boyden
- In:
Thunderbird international business review
60
(
2018
)
2
,
pp. 135-136
Persistent link: https://www.econbiz.de/10011952282
Saved in:
4985
Sovereign default and maturity choice
Sanchez, Juan M.
;
Sapriza, Horacio
;
Yurdagul, Emircan
- In:
Journal of monetary economics
95
(
2018
),
pp. 72-85
Persistent link: https://www.econbiz.de/10012108850
Saved in:
4986
The term structure of CDS spreads and sovereign credit risk
Augustin, Patrick
- In:
Journal of monetary economics
96
(
2018
),
pp. 53-76
Persistent link: https://www.econbiz.de/10012108993
Saved in:
4987
Macroeconomic determinants of the term structure : long-run and short-run dynamics
Doshi, Hitesh
;
Jacobs, Kris
;
Liu, Rui
- In:
Journal of empirical finance
48
(
2018
),
pp. 99-122
Persistent link: https://www.econbiz.de/10012109275
Saved in:
4988
Macroeconomic uncertainty and the distant forward-rate slope
Connolly, Robert A.
;
Dubofsky, David A.
;
Stivers, …
- In:
Journal of empirical finance
48
(
2018
),
pp. 140-161
Persistent link: https://www.econbiz.de/10012109285
Saved in:
4989
Term structure of risk in expected returns
Zviadadze, Irina
-
2018
Persistent link: https://www.econbiz.de/10012113064
Saved in:
4990
Immunity and infection : emerging and developed market sovereign spreads over the Global Financial Crisis
Cayon Fallon, Edgardo
;
Thorp, Susan
;
Wu, Eliza
- In:
Emerging markets review
34
(
2018
),
pp. 162-174
Persistent link: https://www.econbiz.de/10012114692
Saved in:
4991
Can Islamic banks have their own benchmark?
Azad, A. S. M. Sohel
;
Azmat, Saad
;
Chazi, Abdelaziz
; …
- In:
Emerging markets review
35
(
2018
),
pp. 120-136
Persistent link: https://www.econbiz.de/10012114731
Saved in:
4992
Does governing law affect bond spreads?
Ratha, Dilip K.
;
De, Supriyo
;
Kurlat, Sergio
- In:
Emerging markets review
36
(
2018
),
pp. 60-78
Persistent link: https://www.econbiz.de/10012114841
Saved in:
4993
An empirical study on the measurement and determinants of macroeconomic uncertainty
Ulm, Maren
-
2018
Persistent link: https://www.econbiz.de/10012115215
Saved in:
4994
Term structure, market expectations of the short rate, and expected inflation
Luo, Jian
;
Ye, Xiaoxia
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 3-34)
.
2018
Persistent link: https://www.econbiz.de/10012011569
Saved in:
4995
A new approach to CIR short-term rates modelling
Orlando, Giuseppe
;
Mininni, Rosa Maria
;
Bufalo, Michele
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 35-43)
.
2018
Persistent link: https://www.econbiz.de/10012011576
Saved in:
4996
The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 45-59)
.
2018
Persistent link: https://www.econbiz.de/10012011578
Saved in:
4997
Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Di Persio, Luca
;
Gugole, Nicola
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 61-83)
.
2018
Persistent link: https://www.econbiz.de/10012011579
Saved in:
4998
An overview of post-crisis term structure models
Martin, Marcus R. W.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 85-97)
.
2018
Persistent link: https://www.econbiz.de/10012011580
Saved in:
4999
The term structure under non-linearity assumptions : new methods in time series
Vides, José Carlos
;
Iglesias, Jesús
;
Golpe, Antonio A.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 117-136)
.
2018
Persistent link: https://www.econbiz.de/10012011640
Saved in:
5000
Affine type analysis for BESQ and CIR processes with applications to mathematical finance
Di Persio, Luca
;
Prezioso, Luca
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 137-148)
.
2018
Persistent link: https://www.econbiz.de/10012011642
Saved in:
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