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~isPartOf:"Journal of financial economics"
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The CARMA interest rate model
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Volatility
195
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195
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180
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127
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127
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Bakshi, Gurdip S.
8
Jacobs, Kris
7
Longstaff, Francis A.
7
Christoffersen, Peter F.
6
Aït-Sahalia, Yacine
4
Bekaert, Geert
4
Bollerslev, Tim
4
Chernov, Mikhail
4
Della Corte, Pasquale
4
Goldstein, Robert S.
4
Jordan, Bradford D.
4
Ornthanalai, Chayawat
4
Sarno, Lucio
4
Ai, Hengjie
3
Ang, Andrew
3
Bai, Jennie
3
Binsbergen, Jules H. van
3
Brandt, Michael W.
3
Campbell, John Y.
3
Chan, Kalok
3
Collin-Dufresne, Pierre
3
DeAngelo, Harry
3
DeAngelo, Linda
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Filipović, Damir
3
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3
Greenwood, Robin
3
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3
Le, Anh
3
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3
Newton, David P.
3
Pan, Jun
3
Panayotov, George
3
Shleifer, Andrei
3
Song, Dongho
3
Stambaugh, Robert F.
3
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3
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Journal of financial economics
Finance research letters
940
NBER working paper series
922
Energy economics
819
Working paper / National Bureau of Economic Research, Inc.
796
Journal of banking & finance
788
NBER Working Paper
765
The journal of futures markets
716
International journal of theoretical and applied finance
642
International review of financial analysis
564
International review of economics & finance : IREF
563
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556
IMF Working Papers
488
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486
The North American journal of economics and finance : a journal of financial economics studies
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424
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408
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404
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392
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376
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375
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373
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360
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348
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345
Journal of economic dynamics & control
340
Mathematical finance : an international journal of mathematics, statistics and financial theory
334
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325
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309
IMF working papers
305
The journal of derivatives : the official publication of the International Association of Financial Engineers
288
The European journal of finance
285
The journal of computational finance
281
Journal of risk and financial management : JRFM
279
Discussion paper / Tinbergen Institute
272
The review of financial studies
268
CESifo working papers
266
The journal of finance : the journal of the American Finance Association
262
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
398
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1
Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus
;
Strømberg, Jacob
- In:
Journal of financial economics
111
(
2014
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
Saved in:
2
Fiscal policy driven
bond
risk premia
Bretscher, Lorenzo
;
Hsu, Alex
;
Tamoni, Andrea
- In:
Journal of financial economics
138
(
2020
)
1
,
pp. 53-73
Persistent link: https://www.econbiz.de/10012631902
Saved in:
3
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
Saved in:
4
Modeling
volatility
in dynamic term structure models
Doshi, Hitesh
;
Jacobs, Kris
;
Liu, Rui
- In:
Journal of financial economics
161
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10015075688
Saved in:
5
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
6
Conditional
volatility
in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
7
Benchmark interest rates when the government is risky
Augustin, P.
;
Chernov, Mikhail
;
Schmid, Lukas
;
Song, Dongho
- In:
Journal of financial economics
140
(
2021
)
1
,
pp. 74-100
Persistent link: https://www.econbiz.de/10013188604
Saved in:
8
Can interest rate
volatility
be extracted from the cross section of
bond
yields?
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
;
Jones, …
- In:
Journal of financial economics
94
(
2009
)
1
,
pp. 47-66
Persistent link: https://www.econbiz.de/10003891547
Saved in:
9
Carry
Koijen, Ralph S. J.
;
Moskowitz, Tobias J.
;
Pedersen, …
- In:
Journal of financial economics
127
(
2018
)
2
,
pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
Saved in:
10
Time-varying risk of nominal bonds : how important are macroeconomic shocks?
Ermolov, Andrey
- In:
Journal of financial economics
145
(
2022
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10013473700
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