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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
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Instantaneous volatility of the yield curve, variance risk premium and bond return predictability
Yin, Ximing; Yang, Ge - In: Journal of empirical finance 77 (2024), pp. 1- 18
Persistent link: https://www.econbiz.de/10014578543
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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
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609
Persistent link: https://www.econbiz.de/10009615659
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Tone or term : machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China
Peng, Yueqian; Li, Shi; Shi, Xiaojun; Tan, Songtao - In: Journal of empirical finance 78 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10015132820
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The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
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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
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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
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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
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Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308
Persistent link: https://www.econbiz.de/10009615702