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Journal of financial and quantitative analysis : JFQA
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1
Monetary policy and bond prices with drifting equilibrium rates
Favero, Carlo A.
;
Melone, Alessandro
;
Tamoni, Andrea
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
2
,
pp. 626-651
Persistent link: https://www.econbiz.de/10014520118
Saved in:
2
Generalized disappointment aversion and the variance term structure
Babiak, Mykola
- In:
Journal of financial and quantitative analysis : JFQA
59
(
2024
)
4
,
pp. 1796-1820
Persistent link: https://www.econbiz.de/10015055429
Saved in:
3
Equity trading activity and treasury bond risk premia
Schraeder, Stefanie
;
Sojli, Elvira
;
Subrahmanyam, Avanidhar
- In:
Journal of financial and quantitative analysis : JFQA
58
(
2023
)
2
,
pp. 677-710
Persistent link: https://www.econbiz.de/10014309233
Saved in:
4
The dividend term structure
Kragt, Jac
;
Jong, Frank de
;
Driessen, Joost
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
3
,
pp. 829-867
Persistent link: https://www.econbiz.de/10012195621
Saved in:
5
A shadow rate or a quadratic policy rule? : the best way to enforce the zero lower bound in the United States
Andreasen, Martin Møller
;
Meldrum, Andrew
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2261-2292
Persistent link: https://www.econbiz.de/10012140079
Saved in:
6
Investment commonality across insurance companies : fire sale risk and corporate yield spreads
Nanda, Vikram
;
Wu, Wei
;
Zhou, Xing
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
6
,
pp. 2543-2574
Persistent link: https://www.econbiz.de/10012165923
Saved in:
7
Tips from TIPS : the informational content of treasury inflation-protected security prices
D'Amico, Stefania
;
Kim, Don H.
;
Wei, Min
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
1
,
pp. 395-436
Persistent link: https://www.econbiz.de/10011929450
Saved in:
8
Risk premium information from Treasury-bill yields
Lee, Jaehoon
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
1
,
pp. 437-454
Persistent link: https://www.econbiz.de/10011929458
Saved in:
9
Staying on top of the curve : a cascade model of term structure dynamics
Calvet, Laurent E.
;
Fisher, Adlai
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
2
,
pp. 937-963
Persistent link: https://www.econbiz.de/10011929549
Saved in:
10
The term structure of expected recovery rates
Doshi, Hitesh
;
Elkamhi, Redouane
;
Ornthanalai, Chayawat
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
6
,
pp. 2619-2661
Persistent link: https://www.econbiz.de/10012128871
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11
Expected business conditions and bond risk premia
Eriksen, Jonas Nygaard
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
4
,
pp. 1667-1703
Persistent link: https://www.econbiz.de/10011928402
Saved in:
12
Risk premia and the VIX term structure
Johnson, Travis L.
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
6
,
pp. 2461-2490
Persistent link: https://www.econbiz.de/10011929346
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13
Equity volatility term structures and the cross section of option returns
Vasquez, Aurelio
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
6
,
pp. 2727-2754
Persistent link: https://www.econbiz.de/10011929375
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14
Real economic shocks and sovereign credit risk
Augustin, Patrick
;
Tédongap, Roméo
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
2
,
pp. 541-587
Persistent link: https://www.econbiz.de/10011577512
Saved in:
15
Anchoring credit default swap spreads to firm fundamentals
Bai, Jennie
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
5
,
pp. 1521-1543
Persistent link: https://www.econbiz.de/10011665132
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16
The dynamics of sovereign credit risk
Jeanneret, Alexandre
- In:
Journal of financial and quantitative analysis : JFQA
50
(
2015
)
5
,
pp. 963-985
Persistent link: https://www.econbiz.de/10011431123
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17
Detecting regime shifts in credit spreads
Chun, Olfa Maalaoui
;
Dionne, Georges
;
François, Pascal
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
5/6
,
pp. 1339-1364
Persistent link: https://www.econbiz.de/10011338936
Saved in:
18
The stock-bond return return relation, the term structure's slope, and asset-class risk dynamics
Bansal, Naresh K.
;
Connolly, Robert A.
;
Stivers, …
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 699-724
Persistent link: https://www.econbiz.de/10010487741
Saved in:
19
Term structure estimation with survey data on interest rate forecasts
Kim, Don H.
;
Orphanides, Athanasios
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
1
,
pp. 241-272
Persistent link: https://www.econbiz.de/10009623133
Saved in:
20
Leverage expectations and bond credit spreads
Flannery, Mark J.
;
Nikolova, Stanislava Stas
;
Öztekin, …
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
4
,
pp. 689-714
Persistent link: https://www.econbiz.de/10009672483
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21
The term structure of bond market liquidity and its implications for expected bond returns
Goyenko, Ruslan
;
Subrahmanyam, Avanidhar
;
Ukhov, Andrey
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
1
,
pp. 111-139
Persistent link: https://www.econbiz.de/10008991268
Saved in:
22
The term structure of lease rates with endogenous default triggers and tenant capital structure : theory and evidence
Agarwal, Sumit
;
Ambrose, Brent William
;
Huang, Hongming
; …
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
2
,
pp. 553-584
Persistent link: https://www.econbiz.de/10009153182
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23
An extended macro-finance model with financial factors
Dewachter, Hans
;
Iania, Leonardo
- In:
Journal of financial and quantitative analysis : JFQA
46
(
2011
)
6
,
pp. 1893-1916
Persistent link: https://www.econbiz.de/10009623279
Saved in:
24
Affine models of the joint dynamics of exchange rates and interest rates
Anderson, Bing
;
Hammond, Peter J.
;
Ramezani, Cyrus A.
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
5
,
pp. 1341-1365
Persistent link: https://www.econbiz.de/10008907330
Saved in:
25
The term structure of variance swap rates and optimal variance swap investments
Egloff, Daniel
;
Leipold, Markus
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
5
,
pp. 1279-1310
Persistent link: https://www.econbiz.de/10008907332
Saved in:
26
A joint framework for consistently pricing interest rates and interest rate derivatives
Heidari, Massoud
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
3
,
pp. 517-550
Persistent link: https://www.econbiz.de/10003887360
Saved in:
27
Testing the elasticity of corporate yield spreads
Jacoby, Gady
;
Liao, Rose C.
;
Batten, Jonathan A.
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
3
,
pp. 641-656
Persistent link: https://www.econbiz.de/10003887386
Saved in:
28
Asset substitution and structured financing
Vanden, Joel M.
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
4
,
pp. 911-951
Persistent link: https://www.econbiz.de/10003901205
Saved in:
29
Term structure, inflation, and real activity
Berardi, Andrea
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
4
,
pp. 987-1011
Persistent link: https://www.econbiz.de/10003901214
Saved in:
30
Nonparametric estimation of the short rate diffusion process from a panel of yields
Sam, Abdoul G.
;
Jiang, George J.
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
5
,
pp. 1197-1230
Persistent link: https://www.econbiz.de/10003939135
Saved in:
31
An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, Ren-Raw
;
Cheng, Xiaolin
;
Fabozzi, Frank J.
;
Liu, Bo
- In:
Journal of financial and quantitative analysis : JFQA
43
(
2008
)
1
,
pp. 123-160
Persistent link: https://www.econbiz.de/10003692397
Saved in:
32
An international examination of affine term structure models and the expectations hypothesis
Tang, Huarong
;
Xia, Yihong
- In:
Journal of financial and quantitative analysis : JFQA
42
(
2007
)
1
,
pp. 41-80
Persistent link: https://www.econbiz.de/10003434453
Saved in:
33
The empirical failure of the expectations hypothesis of the term structure of bond yields
Sarno, Lucio
;
Thornton, Daniel L.
;
Valente, Giorgio
- In:
Journal of financial and quantitative analysis : JFQA
42
(
2007
)
1
,
pp. 81-100
Persistent link: https://www.econbiz.de/10003434577
Saved in:
34
Stock market performance and the term structure of credit spreads
Demchuk, Andriy
;
Gibson, Rajna
- In:
Journal of financial and quantitative analysis : JFQA
41
(
2006
)
4
,
pp. 863-887
Persistent link: https://www.econbiz.de/10003402931
Saved in:
35
The performance of alternative interest rate risk measures and immunization strategies under a Heath-Jarrow-Morton framework
Agca, Senay
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
3
,
pp. 645-670
Persistent link: https://www.econbiz.de/10003160370
Saved in:
36
Term structure forecasts of long-term consumption growth
Berardi, Andrea
;
Torous, Walter N.
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
2
,
pp. 241-258
Persistent link: https://www.econbiz.de/10002975315
Saved in:
37
Common factors and local factors : implications for term structures and exchange rates
Ahn, Dong-Hyun
- In:
Journal of financial and quantitative analysis : JFQA
39
(
2004
)
1
,
pp. 69-102
Persistent link: https://www.econbiz.de/10001988559
Saved in:
38
Pricing treasury inflation protected securities and related derivatives using an HJM model
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 337-356
Persistent link: https://www.econbiz.de/10001766868
Saved in:
39
The performance of multi-factor term structure models for pricing and hedging caps and swaptions
Driessen, Joost
;
Klaassen, Pieter
;
Melenberg, Bertrand
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
3
,
pp. 635-672
Persistent link: https://www.econbiz.de/10001794047
Saved in:
40
A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra
;
Stapleton, Richard C.
;
Subrahmanyam, …
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
4
,
pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
Saved in:
41
Asset pricing under the quadratic class
Leippold, Markus
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
37
(
2002
)
2
,
pp. 271-295
Persistent link: https://www.econbiz.de/10001690148
Saved in:
42
Does conditioning information matter in estimating continuous time interest rate diffusions?
Abhyankar, Abhay
;
Basu, Devraj
- In:
Journal of financial and quantitative analysis : JFQA
36
(
2001
)
3
,
pp. 335-344
Persistent link: https://www.econbiz.de/10001636275
Saved in:
43
A two-factor hazard rate model for pricing risky debt and the term structure of credit spreads
Madan, Dilip B.
;
Unal, Haluk
- In:
Journal of financial and quantitative analysis : JFQA
35
(
2000
)
1
,
pp. 43-65
Persistent link: https://www.econbiz.de/10001492484
Saved in:
44
Of smiles and smirks : a term structure perspective
Das, Sanjiv R.
;
Sundaram, Rangarajan K.
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
2
,
pp. 211-239
Persistent link: https://www.econbiz.de/10001436315
Saved in:
45
Kalman filtering of Generalized Vasicek term structure models
Babbs, Simon H.
;
Nowman, Kalid Ben
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 115-130
Persistent link: https://www.econbiz.de/10001436345
Saved in:
46
The dynamics of the forward interest rate curve : a formulation with state variables
Jong, Frank de
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 131-157
Persistent link: https://www.econbiz.de/10001436356
Saved in:
47
Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
1
,
pp. 33-59
Persistent link: https://www.econbiz.de/10001243206
Saved in:
48
Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
4
,
pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
Saved in:
49
Country and currency risk premia in an emerging market
Domowitz, Ian
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
2
,
pp. 189-216
Persistent link: https://www.econbiz.de/10001246909
Saved in:
50
Another look at models of the short-term interest rate
Brenner, Robin James
- In:
Journal of financial and quantitative analysis : JFQA
31
(
1996
)
1
,
pp. 85-107
Persistent link: https://www.econbiz.de/10001208194
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