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subject:"Volatility"
~isPartOf:"The review of financial studies"
~isPartOf:"International review of economics & finance : IREF"
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Volatility
Yield curve
169
Zinsstruktur
169
Theorie
62
Theory
62
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61
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61
Estimation
41
Schätzung
41
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2
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The review of financial studies
International review of economics & finance : IREF
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
Journal of empirical finance
12
NBER Working Paper
12
Journal of international money and finance
11
Economic modelling
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
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10
The North American journal of economics and finance : a journal of financial economics studies
10
The journal of fixed income
10
Economics letters
9
Finance research letters
9
Journal of financial and quantitative analysis : JFQA
9
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7
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HWWA discussion paper
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International review of financial analysis
6
Journal of international financial markets, institutions & money
6
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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
Persistent crises and levered asset prices
Kuehn, Lars-Alexander
;
Schreindorfer, David
;
Schulz, Florian
- In:
The review of financial studies
36
(
2023
)
6
,
pp. 2571-2616
Persistent link: https://www.econbiz.de/10014320692
Saved in:
2
How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Takamizawa, Hideyuki
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 205-223
Persistent link: https://www.econbiz.de/10013343384
Saved in:
3
Pricing virtual currency-linked derivatives with time-inhomogeneity
Lian, Yu-Min
;
Chen, Jun-Home
- In:
International review of economics & finance : IREF
71
(
2021
),
pp. 424-439
Persistent link: https://www.econbiz.de/10012627797
Saved in:
4
Core and "crust" : consumer prices and the term structure of interest rates
Ajello, Andrea
;
Benzoni, Luca
;
Chyruk, Olena
- In:
The review of financial studies
33
(
2020
)
8
,
pp. 3719-3765
Persistent link: https://www.econbiz.de/10012249751
Saved in:
5
Asset prices with stochastic volatilities and a UIP puzzle
Lee, Eunhee
- In:
International review of economics & finance : IREF
64
(
2019
),
pp. 41-61
Persistent link: https://www.econbiz.de/10012322223
Saved in:
6
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
7
Mortgage risk and the yield curve
Malkhozov, Aytek
;
Mueller, Philippe
;
Vedolin, Andrea
; …
- In:
The review of financial studies
29
(
2016
)
5
,
pp. 1220-1253
Persistent link: https://www.econbiz.de/10011530026
Saved in:
8
A macro-finance term structure model with multivariate stochastic volatility
Laurini, Márcio Poletti
;
Caldeira, João F.
- In:
International review of economics & finance : IREF
44
(
2016
),
pp. 68-90
Persistent link: https://www.econbiz.de/10011626008
Saved in:
9
What drives the Libor-OIS spread? : evidence from five major currency Libor-OIS spreads
Cuia, Jin
;
In, Francis Haeuck
;
Maharaj, Elizabeth Ann
- In:
International review of economics & finance : IREF
45
(
2016
),
pp. 358-375
Persistent link: https://www.econbiz.de/10011626466
Saved in:
10
The swaption cube
Trolle, Anders B.
;
Schwartz, Eduardo S.
- In:
The review of financial studies
27
(
2014
)
8
,
pp. 2307-2353
Persistent link: https://www.econbiz.de/10010463486
Saved in:
11
Can equity volatility explain the global loan pricing puzzle?
Gaul, Lewis
;
Uysal, Pinar
- In:
The review of financial studies
26
(
2013
)
12
,
pp. 3225-3265
Persistent link: https://www.econbiz.de/10010237367
Saved in:
12
A general stochastic volatility model for the pricing of interest rate derivatives
Trolle, Anders B.
;
Schwartz, Eduardo S.
- In:
The review of financial studies
22
(
2009
)
5
,
pp. 2007-2057
Persistent link: https://www.econbiz.de/10003886038
Saved in:
13
Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao
;
Zhao, Feng
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
Saved in:
14
Identifying term structure volatility from the LIBOR-swap curve
Thompson, Samuel B.
- In:
The review of financial studies
21
(
2008
)
2
,
pp. 819-854
Persistent link: https://www.econbiz.de/10003716657
Saved in:
15
Options and bubbles
Heston, Steven L.
;
Loewenstein, Mark A.
;
Willard, Gregory A.
- In:
The review of financial studies
20
(
2007
)
2
,
pp. 359-390
Persistent link: https://www.econbiz.de/10003554435
Saved in:
16
Portfolio selection in stochastic environments
Liu, Jun
- In:
The review of financial studies
20
(
2007
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10003403670
Saved in:
17
Fundamental properties of bond prices in models of the short-term rate
Mele, Antonio
- In:
The review of financial studies
16
(
2003
)
3
,
pp. 679-716
Persistent link: https://www.econbiz.de/10001794920
Saved in:
18
Inferring future volatility from the information in implied volatility in Eurodollar options : a new approach
Amin, Kaushik I.
- In:
The review of financial studies
10
(
1997
)
2
,
pp. 333-367
Persistent link: https://www.econbiz.de/10001220589
Saved in:
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