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A novel approach for testing the parity relationship between CDS and credit spread
Castagnetti, Carolina - In: Economics letters 172 (2018), pp. 115-117
Persistent link: https://www.econbiz.de/10012021923
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On the pricing of expected idiosyncratic skewness
Cui, Xiangyu; Guan, Zheng - In: Economics letters 216 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013448356
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Inflation risk premia and risk-adjusted expectations of inflation
Casiraghi, Marco; Miccoli, Marcello - In: Economics letters 175 (2019), pp. 36-39
Persistent link: https://www.econbiz.de/10012121124
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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Benchmark tipping and the role of the swap market in price discovery
Poskitt, Russell - In: The journal of futures markets 27 (2007) 10, pp. 981-1001
Persistent link: https://www.econbiz.de/10003531008
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Equity swaps in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 27 (2007) 9, pp. 893-920
Persistent link: https://www.econbiz.de/10003518527
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A monetary policy-based explanation of swap spreads in China
Fan, Longzhen; Hou, Xin; Sun, Qian - In: The journal of futures markets 43 (2023) 11, pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
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Probability weighting in commodity futures markets
Yuan, Jun; Xu, Qi; Wang, Ying - In: The journal of futures markets 43 (2023) 4, pp. 516-548
Persistent link: https://www.econbiz.de/10014293131
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Time varying price discovery
Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics letters 126 (2015), pp. 18-21
Persistent link: https://www.econbiz.de/10011376376