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ECONIS (ZBW)
121
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1
Arbitrage-free neural-SDE market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10014390284
Saved in:
2
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
3
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
4
Ownership structure and the cost of debt : evidence from the Chinese corporate bond market
Chatterjee, Sris
;
Gu, Xian
;
Hasan, Iftekhar
;
Lu, Haitian
- In:
Journal of empirical finance
73
(
2023
),
pp. 334-348
Persistent link: https://www.econbiz.de/10014477033
Saved in:
5
On the driving forces of real exchange rates : is the Japanese Yen different?
Maio, Paulo
;
Zeng, Ming
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014477065
Saved in:
6
Term premia and short rate expectations in the euro area
Berardi, Andrea
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014477077
Saved in:
7
Out-of-sample equity premium prediction : the role of option-implied constraints
Wang, Yunqi
;
Zhou, Ti
- In:
Journal of empirical finance
70
(
2023
),
pp. 199-226
Persistent link: https://www.econbiz.de/10014423642
Saved in:
8
A global monetary policy factor in sovereign bond yields
Malliaropulos, Dimitris
;
Migiakis, Petros
- In:
Journal of empirical finance
70
(
2023
),
pp. 445-465
Persistent link: https://www.econbiz.de/10014423743
Saved in:
9
Uncovered interest rate parity redux : non-uniform effects
Cheung, Yin-Wong
;
Wang, Wenhao
- In:
Journal of empirical finance
67
(
2022
),
pp. 133-151
Persistent link: https://www.econbiz.de/10013464380
Saved in:
10
The time-varying bond risk premia in China
Zhang, Han
;
Guo, Bin
;
Liu, Lanbiao
- In:
Journal of empirical finance
65
(
2022
),
pp. 51-76
Persistent link: https://www.econbiz.de/10013286400
Saved in:
11
Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren
;
Hambuckers, Julien
- In:
Journal of empirical finance
65
(
2022
),
pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
Saved in:
12
Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T.
;
Swan, Bruce Q.
;
Chen, Xinfu
- In:
Applied mathematical finance
29
(
2022
)
1
,
pp. 33-61
Persistent link: https://www.econbiz.de/10013554066
Saved in:
13
Can interest rate factors explain exchange rate fluctuations?
Yung, Julieta
- In:
Journal of empirical finance
61
(
2021
),
pp. 34-56
Persistent link: https://www.econbiz.de/10012693233
Saved in:
14
What does a term structure model imply about very long-term interest rates?
Balter, Anne G.
;
Pelsser, Antoon André Jean
;
Schotman, …
- In:
Journal of empirical finance
62
(
2021
),
pp. 202-219
Persistent link: https://www.econbiz.de/10012693395
Saved in:
15
Is convexity efficiently priced? : evidence from international swap markets
Rebonato, Riccardo
;
Ronzani, Riccardo
- In:
Journal of empirical finance
63
(
2021
),
pp. 392-413
Persistent link: https://www.econbiz.de/10013259275
Saved in:
16
The predictive power of Nelson-Siegel factor loadings for the real economy
Han, Yang
;
Jiao, Anqi
;
Ma, Jun
- In:
Journal of empirical finance
64
(
2021
),
pp. 95-127
Persistent link: https://www.econbiz.de/10013259403
Saved in:
17
The information content of the term structure of risk-neutral skewness
Borochin, Paul
;
Chang, Hao
;
Wu, Yangru
- In:
Journal of empirical finance
58
(
2020
),
pp. 247-274
Persistent link: https://www.econbiz.de/10012430679
Saved in:
18
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
19
Bond and option prices with permanent shocks
Zoubi, Haitham al-
- In:
Journal of empirical finance
53
(
2019
),
pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
Saved in:
20
Using extracted forward rate term structure information to forecast foreign exchange rates
Kearney, Fearghal
;
Cummins, Mark
;
Murphy, Finbarr
- In:
Journal of empirical finance
53
(
2019
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012171702
Saved in:
21
A copula-based Markov reward approach to the credit spread in the European Union
D'Amico, Guglielmo
;
Petroni, Filippo
;
Regnalt, Philippe
; …
- In:
Applied mathematical finance
26
(
2019
)
4
,
pp. 359-386
Persistent link: https://www.econbiz.de/10012210396
Saved in:
22
Volatility in equity markets and monetary policy rate uncertainty
Kaminska, Iryna
;
Roberts-Sklar, Matt
- In:
Journal of empirical finance
45
(
2018
),
pp. 68-83
Persistent link: https://www.econbiz.de/10012102459
Saved in:
23
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen
;
Oehme, Toni
;
Rösch, Daniel
;
Scheule, …
- In:
Journal of empirical finance
47
(
2018
),
pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
Saved in:
24
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
25
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
26
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:
27
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:
28
The re-pricing of sovereign risks following the Global Financial Crisis
Malliaropulos, Dimitris
;
Migiakis, Petros
- In:
Journal of empirical finance
49
(
2018
),
pp. 39-56
Persistent link: https://www.econbiz.de/10012117717
Saved in:
29
Forecasting the term structure of option implied volatility : the power of an adaptive method
Chen, Ying
;
Han, Qian
;
Niu, Linlin
- In:
Journal of empirical finance
49
(
2018
),
pp. 157-177
Persistent link: https://www.econbiz.de/10012117736
Saved in:
30
Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models
Criens, David
;
Glau, Kathrin
;
Grbac, Zorana
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10011746992
Saved in:
31
Rethinking cointegration and the expectation hypothesis of the term structure
Li, Jing
;
Davis, George Keith
- In:
Journal of empirical finance
44
(
2017
),
pp. 177-189
Persistent link: https://www.econbiz.de/10011818012
Saved in:
32
Forecasting the term structure of government bond yields in unstable environments
Byrne, Joseph P.
;
Cao, Shuo
;
Korobilis, Dimitris
- In:
Journal of empirical finance
44
(
2017
),
pp. 209-225
Persistent link: https://www.econbiz.de/10011818024
Saved in:
33
The affine inflation market models
Waldenberger, Stefan
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 281-301
Persistent link: https://www.econbiz.de/10011815230
Saved in:
34
Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
35
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
36
Skewness term-structure tests
Lehnert, Thorsten
;
Lin, Yuehao
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 484-504
Persistent link: https://www.econbiz.de/10011704272
Saved in:
37
Risk and return of short-duration equity investments
Cejnek, Georg
;
Randl, Otto
- In:
Journal of empirical finance
36
(
2016
),
pp. 181-198
Persistent link: https://www.econbiz.de/10011662843
Saved in:
38
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
Tô, Thuy-Duong
- In:
Journal of empirical finance
37
(
2016
),
pp. 59-78
Persistent link: https://www.econbiz.de/10011662911
Saved in:
39
Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson-Siegel models
Levant, Jared
;
Ma, Jun
- In:
Journal of empirical finance
37
(
2016
),
pp. 117-127
Persistent link: https://www.econbiz.de/10011662967
Saved in:
40
Bond portfolio optimization using dynamic factor models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Journal of empirical finance
37
(
2016
),
pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
Saved in:
41
The economic value of predicting bond risk premia
Sarno, Lucio
;
Schneider, Paul
;
Wagner, Christian
- In:
Journal of empirical finance
37
(
2016
),
pp. 247-267
Persistent link: https://www.econbiz.de/10011663051
Saved in:
42
News sentiment and bank credit risk
Smales, Lee A.
- In:
Journal of empirical finance
38
(
2016
),
pp. 37-61
Persistent link: https://www.econbiz.de/10011663222
Saved in:
43
Bubbling over! : the behaviour of oil futures along the yield curve
Tsvetanov, Daniel
;
Coakley, Jerry
;
Kellard, Neil
- In:
Journal of empirical finance
38
(
2016
),
pp. 516-533
Persistent link: https://www.econbiz.de/10011663333
Saved in:
44
The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of empirical finance
38
(
2016
),
pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
Saved in:
45
CDS-bond basis and bond return predictability
Kim, Gi H.
;
Li, Haitao
;
Zhang, Weina
- In:
Journal of empirical finance
38
(
2016
),
pp. 307-337
Persistent link: https://www.econbiz.de/10011664711
Saved in:
46
Financial sector linkages and the dynamics of bank and sovereign credit spreads
Kallestrup, René
;
Lando, David
;
Murgoci, Agatha
- In:
Journal of empirical finance
38
(
2016
),
pp. 374-393
Persistent link: https://www.econbiz.de/10011664771
Saved in:
47
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan
;
Fung, Man Chung
;
Ignatieva, Ekaterina
; …
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Saved in:
48
The predictive density simulation of the yield curve with a zero lower bound
Kang, Kyu Ho
- In:
Journal of empirical finance
33
(
2015
),
pp. 51-66
Persistent link: https://www.econbiz.de/10011556848
Saved in:
49
Liquidity and credit premia in the yields of highly-rated sovereign bonds
Ejsing, Jacob Wellendorph
;
Grothe, Magdalena
;
Grothe, Oliver
- In:
Journal of empirical finance
33
(
2015
),
pp. 160-173
Persistent link: https://www.econbiz.de/10011556864
Saved in:
50
Real term structure forecasts of consumption growth
Argyropoulos, Efthymios
;
Tzavalis, Elias
- In:
Journal of empirical finance
33
(
2015
),
pp. 208-222
Persistent link: https://www.econbiz.de/10011556880
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