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~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
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Interest rate derivative
16
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Applied economics
The journal of futures markets
137
International journal of theoretical and applied finance
33
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29
Advances in futures and options research : a research annual
28
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25
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ECONIS (ZBW)
16
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1
Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments
Backwell, Alex
;
Ruddock, Ralph
- In:
Applied economics
55
(
2023
)
18
,
pp. 2060-2069
Persistent link: https://www.econbiz.de/10014294859
Saved in:
2
Benchmark interest rates when the government is risky
Augustin, Patrick
;
Chernov, Mikhail
;
Schmid, Lukas
; …
-
2019
Persistent link: https://www.econbiz.de/10012136990
Saved in:
3
Effects of the Fed's enhanced swap line with the ECB on CIP deviations
Moessner, Richhild
;
Allen, William A.
- In:
Applied economics
53
(
2021
)
10
,
pp. 1178-1183
Persistent link: https://www.econbiz.de/10012425457
Saved in:
4
Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas
;
Weber, Michael
-
2016
Persistent link: https://www.econbiz.de/10011585385
Saved in:
5
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:
6
Linearized Hamiltonian of the LIBOR market model : analytical and empirical results
Tang, Pan
;
Baaquie, Belal E.
;
Du, Xin
;
Zhang, Ying
- In:
Applied economics
48
(
2016
)
10/12
,
pp. 878-891
Persistent link: https://www.econbiz.de/10011432758
Saved in:
7
Banks' risk exposures
Begenau, Juliane
;
Piazzesi, Monika
;
Schneider, Martin
-
2015
Persistent link: https://www.econbiz.de/10011308062
Saved in:
8
The information in long-maturity forward rates : implications for exchange rates and the forward premium anomaly
Boudoukh, Jacob
;
Richardson, Matthew
;
Whitelaw, Robert F.
-
2005
Persistent link: https://www.econbiz.de/10003239795
Saved in:
9
Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump
Ze-To, Samuel Yau Man
- In:
Applied economics
44
(
2012
)
19/21
,
pp. 2729-2741
Persistent link: https://www.econbiz.de/10009546636
Saved in:
10
The market price of credit risk : an empirical analysis of interest rate swap spreads
Liu, Jun
;
Longstaff, Francis A.
;
Mandell, Ravit E.
-
2002
Persistent link: https://www.econbiz.de/10001675869
Saved in:
11
Predictable changes in yields and forward rates
Backus, David
(
contributor
)
-
1998
Persistent link: https://www.econbiz.de/10000654976
Saved in:
12
Nonparametric pricing of interest rate derivative securities
Aït-Sahalia, Yacine
-
1995
Persistent link: https://www.econbiz.de/10000923501
Saved in:
13
Derivative securities and cash market stability
Ely, David P.
- In:
Applied economics
23
(
1991
)
2
,
pp. 391-402
Persistent link: https://www.econbiz.de/10001114647
Saved in:
14
Treasury bill rates in the 1970s and 1980s
Hendershott, Patric H.
;
Peek, Joe
-
1989
Persistent link: https://www.econbiz.de/10000773056
Saved in:
15
Synthetic eurocurrency interest rate futures contracts : theory and evidence
Koh, Annie
;
Levich, Richard M.
-
1989
Persistent link: https://www.econbiz.de/10000774262
Saved in:
16
Interest rate arbitrage using the forwards and futures markets, 1977 - 85
Woodward, Richard S.
- In:
Applied economics
19
(
1987
)
10
,
pp. 1329-1335
Persistent link: https://www.econbiz.de/10001047344
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