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Consistent re-calibration in yield curve modeling : an example

Wüthrich, Mario V. - 2015

changes. We discuss how parameters need to be updated with changing market conditions such that the re-calibration meets the … premise of being free of arbitrage. We demonstrate this (consistent) re-calibration with the Hull-White extended discrete time …

Persistent link: https://www.econbiz.de/10011412102

Predictive power of the implied volatility term structure in the fixed-income market

Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383

Persistent link: https://www.econbiz.de/10014293073

The Information Content of the Implied Volatility Term Structure on Future Returns

Wang, Yaw-Huei - 2017

implied volatility index level and term structure, we show the important role of the term structure in determining future …

Persistent link: https://www.econbiz.de/10012972853

The term structure of option-implied volatility and future realized volatility

Shi, Yukun; Zhang, Hao; Xu, Yaofei; Zhao, Yang - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 13, pp. 2997-3022

Persistent link: https://www.econbiz.de/10012211068

A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194

Persistent link: https://www.econbiz.de/10014456945

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: Economic research 32 (2019) 1,4, pp. 3987-4014

Persistent link: https://www.econbiz.de/10012405739

Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure

Fergusson, K. - In: Annals of financial economics 12 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011716067

Sharpe-optimal volatility futures carry

Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302

Persistent link: https://www.econbiz.de/10014583405

Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

Persistent link: https://www.econbiz.de/10013384831

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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