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Search: subject_exact:"Term structure theory"
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Yield curve
14,375
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14,375
Theorie
5,132
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5,132
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2,503
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2,502
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2,271
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2,248
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2,183
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2,183
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2,177
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2,167
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2,048
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2,048
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2,008
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2,001
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1,393
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1,388
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1,293
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1,293
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1,190
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1,189
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1,171
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1,168
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1,057
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1,056
Forecasting model
1,038
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1,038
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926
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925
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925
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924
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904
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904
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786
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786
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752
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677
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671
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613
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4
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413
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92
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9
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5
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2
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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
Afonso, António
43
Chiarella, Carl
41
Hamilton, James D.
41
Krippner, Leo
41
Chernov, Mikhail
40
Campbell, John Y.
39
Caporale, Guglielmo Maria
38
Renne, Jean-Paul
38
Thornton, Daniel L.
38
Hördahl, Peter
37
Kim, Don H.
37
Mishkin, Frederic S.
36
Gollier, Christian
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
Fabozzi, Frank J.
27
Guidolin, Massimo
27
Jondeau, Eric
27
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National Bureau of Economic Research
273
Centre for Analytical Finance <Århus>
13
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
13
Federal Reserve Bank of San Francisco
12
Ekonomiska forskningsinstitutet <Stockholm>
10
Federal Reserve Bank of St. Louis
8
International Monetary Fund
8
University of Exeter / Department of Economics
7
Banque de France / Direction des Etudes Economiques et de la Recherche
6
Federal Reserve Bank of Cleveland
5
Rodney L. White Center for Financial Research
5
World Bank
5
Banco Central do Brasil
4
Federal Reserve Bank of New York
4
Federal Reserve System / Division of Research and Statistics
4
Internationaler Währungsfonds / European Department <1>
4
Springer Fachmedien Wiesbaden
4
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
4
Deutsche Forschungsgemeinschaft
3
Erasmus Research Institute of Management
3
Europäische Zentralbank
3
Innocenzo Gasparini Institute for Economic Research <Mailand>
3
International Center for Financial Asset Management and Engineering
3
Internationaler Währungsfonds
3
Internationaler Währungsfonds / Research Department
3
Internationaler Währungsfonds / Western Hemisphere Department
3
OECD
3
Reserve Bank of New Zealand
3
University of York / Department of Economics and Related Studies
3
Weierstraß-Institut für Angewandte Analysis und Stochastik
3
Bank of Canada
2
Bank of England / Economics Division
2
Center for Economic Analysis <Boulder, Colo.>
2
Center for Economic Research <Tilburg>
2
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
Federal Reserve System / Board of Governors
2
Goethe-Universität Frankfurt am Main
2
Institut für Weltwirtschaft
2
Institute of Finance and Accounting <London>
2
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NBER working paper series
269
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
119
Journal of financial economics
116
International journal of theoretical and applied finance
111
Finance and economics discussion series
110
Working paper series / European Central Bank
109
IMF working papers
104
Finance research letters
103
Working paper
96
Journal of money, credit and banking : JMCB
93
International review of economics & finance : IREF
88
Economics letters
87
The review of financial studies
85
Applied economics
83
The journal of finance : the journal of the American Finance Association
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
Applied financial economics
68
Journal of economic dynamics & control
68
Working papers series / Federal Reserve Bank of San Francisco
68
Applied economics letters
61
Discussion papers / CEPR
61
Journal of financial and quantitative analysis : JFQA
61
Discussion paper
60
Journal of international financial markets, institutions & money
59
The journal of futures markets
59
CESifo working papers
58
ECB Working Paper
56
The North American journal of economics and finance : a journal of financial economics studies
56
Staff reports / Federal Reserve Bank of New York
53
Finance and stochastics
51
IMF working paper
51
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ECONIS (ZBW)
14,375
RePEc
1
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5,851
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5851
The bond benchmark continues to tip to swaps
Kreicher, Lawrence
;
McCauley, Robert N.
;
Wooldridge, …
- In:
BIS quarterly review : international banking and …
(
2017
),
pp. 69-79
Persistent link: https://www.econbiz.de/10011668200
Saved in:
5852
Credit risk term-structures for lifetime impairment forecasting : a practical guide
Skoglund, Jimmy
- In:
Journal of risk management in financial institutions
10
(
2016/2017
)
2
,
pp. 177-195
Persistent link: https://www.econbiz.de/10011670671
Saved in:
5853
Point-in-time probability of default term structure models for multiperiod scenario loss projection
Yang, Bill Huajian
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 73-94
Persistent link: https://www.econbiz.de/10011671182
Saved in:
5854
Is there a long-term relationship among European sovereign bond yields?
Schaeffer, Ian
;
Ramírez, Miguel D.
- In:
Business and Economic Research : BER
7
(
2017
)
1
,
pp. 68-86
Persistent link: https://www.econbiz.de/10011672927
Saved in:
5855
Sensitivities under G2++model of the yield curve
Jaffal, H.
;
Rakotondratsimba, Y.
;
Yassine, A.
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011673113
Saved in:
5856
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
5857
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
5858
Time-varying risk premiums and term premiums in commodity futures
Chaves, Denis B.
- In:
The journal of alternative investments
19
(
2017
)
4
,
pp. 39-52
Persistent link: https://www.econbiz.de/10011673677
Saved in:
5859
Mission incomplete : reflating Japan's economy
Shirai, Sayuri
-
2017
Persistent link: https://www.econbiz.de/10011608694
Saved in:
5860
Measurement of interest rates using a convex optimization model
Blomvall, Jörgen
- In:
European journal of operational research : EJOR
256
(
2017
)
1
,
pp. 308-316
Persistent link: https://www.econbiz.de/10011611272
Saved in:
5861
Rating agencies, self-fulfilling prophecy and multiple equilibria? : an empirical model of the European sovereign debt crisis 2009-2011
Gärtner, Manfred
;
Griesbach, Bjorn
- In:
Business and Economic Research : BER
7
(
2017
)
1
,
pp. 199-226
Persistent link: https://www.econbiz.de/10011684690
Saved in:
5862
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
5863
Heterogeneous liquidity effects in corporate bond spreads
Hafner, Christian M.
;
Walders, Fabian
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 73-91
Persistent link: https://www.econbiz.de/10011684767
Saved in:
5864
An examination of the predictive power of financial market indicators in Trinidad and Tobago
Dhanessar, Alon
-
2017
Persistent link: https://www.econbiz.de/10011686289
Saved in:
5865
Coherent foreign exchange market models
Gnoatto, Alessandro
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011686817
Saved in:
5866
On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter
;
Williams, Gareth
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
Saved in:
5867
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
5868
Small-noise limit of the quasi-Gaussian log-normal HJM model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Operations research letters
45
(
2017
)
1
,
pp. 6-11
Persistent link: https://www.econbiz.de/10011687046
Saved in:
5869
Affine models with stochastic market price of risk
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
Saved in:
5870
Panta rhei, measurement and discovery of change in financial markets
Zamojski, Marcin
-
2017
Persistent link: https://www.econbiz.de/10011595666
Saved in:
5871
Bank portfolio risk and interest rate spread of risky loans : a methodological analysis
Yu, Hua
- In:
Journal of financial management and analysis : …
30
(
2017
)
2
,
pp. 72-80
Persistent link: https://www.econbiz.de/10011991729
Saved in:
5872
Regulatory ratios, CDS spreads, and credit ratings in a favorable economic environment
Handorf, William Charles
- In:
Journal of banking regulation
18
(
2017
)
3
,
pp. 268-285
Persistent link: https://www.econbiz.de/10012010236
Saved in:
5873
Inter-dependencies among Asian bond markets
Subramaniam, Sowmya
;
Prasanna, Krishna P.
- In:
Studies in economics and finance
34
(
2017
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10011961096
Saved in:
5874
Zero interest rate policy and economic order 2016
Belke, Ansgar
;
Schnabl, Gunther
- In:
Credit and capital markets : Kredit und Kapital
50
(
2017
)
2
,
pp. 101-103
Persistent link: https://www.econbiz.de/10011944031
Saved in:
5875
Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying
;
Ma, Chunhua
;
Scotti, Simone
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
Saved in:
5876
Valuation of certain CMS spreads
Wu, Ping
;
Elliott, Robert J.
- In:
Financial markets and portfolio management
31
(
2017
)
4
,
pp. 445-467
Persistent link: https://www.econbiz.de/10011944624
Saved in:
5877
The optimal trade-off between interest rate risk and annual return of bond ladders
Wosnitza, Jan Henrik
- In:
Financial markets and portfolio management
31
(
2017
)
4
,
pp. 469-489
Persistent link: https://www.econbiz.de/10011944627
Saved in:
5878
Asymmetry in lending-deposit rate spread : evidence from Chile
Habegger, Wendy
;
Thompson, Mark A.
- In:
International advances in economic research : IAER ; an …
23
(
2017
)
4
,
pp. 439-440
Persistent link: https://www.econbiz.de/10011944782
Saved in:
5879
Southern border recession predictability in the United States, 1990 - 2015
Fullerton, Thomas M.
;
Sanez-Rojo, Elías D.
;
Walke, Adam G.
-
2017
Persistent link: https://www.econbiz.de/10011949691
Saved in:
5880
Gaussian models for Euro high grade government yields
Realdon, Marco
- In:
The European journal of finance
23
(
2017
)
13/15
,
pp. 1468-1511
Persistent link: https://www.econbiz.de/10012014691
Saved in:
5881
The deposits channel of monetary policy
Drechsler, Itamar
;
Savov, Alexi
;
Schnabl, Philipp
- In:
The quarterly journal of economics
132
(
2017
)
4
,
pp. 1819-1876
Persistent link: https://www.econbiz.de/10012036106
Saved in:
5882
Implicit inflation and risk premiums in the Brazilian fixed income market
Mariani, Lucas Argentieri
;
Laurini, Márcio Poletti
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
7/8/9
,
pp. 1836-1853
Persistent link: https://www.econbiz.de/10011824783
Saved in:
5883
The politics of sovereign credit spreads
Smaoui, Houcem
;
Boubakri, Narjess
;
Cosset, Jean-Claude
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
7/8/9
,
pp. 1894-1922
Persistent link: https://www.econbiz.de/10011824833
Saved in:
5884
Time varying contagion in EMU government bond spreads
Leschinski, Christian
;
Bertram, Philip
- In:
Journal of financial stability
29
(
2017
),
pp. 72-91
Persistent link: https://www.econbiz.de/10011825580
Saved in:
5885
An ex-post analysis of the CME Group's solution to the 5-year gap issue
Ben-Abdallah, Ramzi
;
Breton, Michèle
- In:
Applied economics
49
(
2017
)
60
,
pp. 5992-6002
Persistent link: https://www.econbiz.de/10011845891
Saved in:
5886
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
5887
Bayesian testing for short term interest rate models
Zhang, Yonghui
;
Chen, Zhongtian
;
Li, Yong
- In:
Finance research letters
20
(
2017
),
pp. 146-152
Persistent link: https://www.econbiz.de/10011806836
Saved in:
5888
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
Saved in:
5889
Term-structure modelling at the zero lower bound : implications for estimating the forward term premium
Chung, Tsz Kin
;
Hui, Cho H.
;
Li, Ka Fai
- In:
Finance research letters
21
(
2017
),
pp. 100-106
Persistent link: https://www.econbiz.de/10011807514
Saved in:
5890
Sovereign bond markets and financial volatility dynamics : panel-GARCH evidence for six euro area countries
Ribeiro, Pedro Pires
;
Cermeño, Rodolfo
;
Curto, José Dias
- In:
Finance research letters
21
(
2017
),
pp. 107-114
Persistent link: https://www.econbiz.de/10011807517
Saved in:
5891
Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?
Kinateder, Harald
;
Hofstetter, Benedikt
;
Wagner, Niklas F.
- In:
Finance research letters
21
(
2017
),
pp. 144-150
Persistent link: https://www.econbiz.de/10011807738
Saved in:
5892
Real rate swaption and zero coupon inflation index swaption
Kamtchueng, Christian
- In:
International journal of bonds and derivatives
3
(
2017
)
1
,
pp. 21-43
Persistent link: https://www.econbiz.de/10011807756
Saved in:
5893
Long memory forecasting of yield spreads using a fractionally integrated ARMA model and its application in Islamic capital market
Bousalam, Issam
;
Hamzaoui, Moustapha
- In:
International journal of bonds and derivatives
3
(
2017
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10011807765
Saved in:
5894
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl
- In:
Finance research letters
23
(
2017
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
Saved in:
5895
Nonlinear impacts of debt ratio and term spread on inward FDI performance persistence
Wu, Po-Chin
;
Chang, Chia-Jui
- In:
Economia politica : journal of analytical and …
34
(
2017
)
3
,
pp. 369-388
Persistent link: https://www.econbiz.de/10011809695
Saved in:
5896
A dynamic Nelson-Siegel yield curve model with Markov switching
Levant, Jared
;
Ma, Jun
- In:
Economic modelling
67
(
2017
),
pp. 73-87
Persistent link: https://www.econbiz.de/10011813779
Saved in:
5897
Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid
;
Prigent, Jean-Luc
;
Abid, Ilyes
- In:
Economic modelling
67
(
2017
),
pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
Saved in:
5898
How do political factors shape the bank risk-sovereign risk nexus in emerging markets?
Eichler, Stefan
- In:
Review of development economics
21
(
2017
)
3
,
pp. 451-474
Persistent link: https://www.econbiz.de/10011813852
Saved in:
5899
The composition of CMBS risk
Christopoulos, Andreas D.
- In:
Journal of banking & finance
76
(
2017
),
pp. 215-239
Persistent link: https://www.econbiz.de/10011814330
Saved in:
5900
A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter
;
Gourier, Elise
;
Huitema, Robert
; …
- In:
Journal of banking & finance
77
(
2017
),
pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
Saved in:
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