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Do interest rate options contain information about excess returns?

Almeida, Caio; Graveline, Jeremy J.; Joslin, Scott - In: Journal of econometrics 164 (2011) 1, pp. 35-44

Persistent link: https://www.econbiz.de/10009270414

Do Interest Rate Options Contain Information About Excess Returns?

Almeida, Caio - 2018

There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying interest rates. We use the joint time-series of swap rates and interest rate...

Persistent link: https://www.econbiz.de/10012928049

Do the central bank actions reduce interest rate volatility?

Marins, Jaqueline Terra Moura; Vicente, José Valentim … - In: Economic modelling 65 (2017), pp. 129-137

Persistent link: https://www.econbiz.de/10011813619

Impacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazil

Vicente, José Valentim Machado; Marins, Jaqueline … - 2021

Persistent link: https://www.econbiz.de/10012628074

Efficient solutions for pricing and hedging interest rate Asian options

Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020

Persistent link: https://www.econbiz.de/10012171315

Do central bank actions reduce interest rate volatility?

Marins, Jaqueline Terra Moura; Vicente, José Valentim … - 2017

Persistent link: https://www.econbiz.de/10011944956

Impacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazil

Vicente, José Valentim Machado; Marins, Jaqueline … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10013257720

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