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The CARMA interest rate model
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Risk premium
Volatility
43,683
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Theorie
22,131
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15,691
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Risk
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4,659
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4,491
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Zhou, Hao
34
Bekaert, Geert
31
Bansal, Ravi
30
Hördahl, Peter
28
Lustig, Hanno
25
Chernov, Mikhail
23
Bollerslev, Tim
22
Christensen, Jens H. E.
22
Goldstein, Robert S.
21
D'Amico, Stefania
20
Yaron, Amir
19
Jacobs, Kris
18
Sarno, Lucio
18
Tauchen, George Eugene
17
Todorov, Viktor
17
Campbell, John Y.
16
Bauer, Michael D.
15
Iania, Leonardo
15
Marfè, Roberto
15
Shaliastovich, Ivan
15
Trojani, Fabio
15
Tzavalis, Elias
15
Cochrane, John H.
14
Collin-Dufresne, Pierre
14
Pericoli, Marcello
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Schneider, Paul
14
Singleton, Kenneth J.
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Tristani, Oreste
14
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13
Bernoth, Kerstin
13
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13
Gollier, Christian
13
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13
Hamilton, James D.
13
Orphanides, Athanasios
13
Wu, Jing Cynthia
13
Benzoni, Luca
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European Stability Mechanism
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Verlag Dr. Kovač
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Journal of banking & finance
104
Journal of financial economics
84
NBER working paper series
79
NBER Working Paper
65
Working paper / National Bureau of Economic Research, Inc.
63
Finance research letters
53
International review of economics & finance : IREF
50
Journal of empirical finance
50
Journal of international money and finance
44
International review of financial analysis
42
Management science : journal of the Institute for Operations Research and the Management Sciences
41
The review of financial studies
39
Finance and economics discussion series
35
The North American journal of economics and finance : a journal of financial economics studies
35
Discussion papers / CEPR
34
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34
Research paper series / Swiss Finance Institute
33
The journal of finance : the journal of the American Finance Association
33
Working paper
33
Journal of international financial markets, institutions & money
32
Discussion paper / Centre for Economic Policy Research
28
The journal of futures markets
28
Applied economics
27
Journal of economic dynamics & control
27
Staff reports / Federal Reserve Bank of New York
25
Economics letters
24
Energy economics
23
International journal of theoretical and applied finance
23
Review of finance : journal of the European Finance Association
23
Applied financial economics
22
IMF Working Papers
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Journal of econometrics
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Journal of financial and quantitative analysis : JFQA
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The journal of fixed income
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CREATES research paper
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Discussion paper
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Economic modelling
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Journal of financial markets
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Journal of risk and financial management : JRFM
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Research in international business and finance
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ECONIS (ZBW)
4,273
RePEc
28
Other ZBW resources
3
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Riding the swaption curve
Duyvesteyn, Johan
;
Zwart, Gerben Jacobus de
- In:
Journal of banking & finance
59
(
2015
),
pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
Saved in:
2
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
3
Credit risk modelling and credit derivatives
Schönbucher, Philipp J.
-
2000
Persistent link: https://www.econbiz.de/10001449548
Saved in:
4
Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther
-
2001
Persistent link: https://www.econbiz.de/10001615568
Saved in:
5
Chapter 20 Fixed-income pricing
Dai, Qiang
;
Singleton, Kenneth J.
-
2003
include affine, quadratic-Gaussian, and various stochastic
volatility
models of the term structure. Then we turn to models …
Persistent link: https://www.econbiz.de/10014023851
Saved in:
6
Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice
;
Portait, Roland
;
Toder, Igor
-
2022
Persistent link: https://www.econbiz.de/10012628654
Saved in:
7
Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice
;
Portait, Roland
;
Toder, Igor
-
2022
Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The
Bond
Markets …
Persistent link: https://www.econbiz.de/10013441427
Saved in:
8
Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio
;
Obayashi, Yoshiki
;
Shalen, Catherine T.
- In:
Journal of banking & finance
52
(
2015
),
pp. 256-265
Persistent link: https://www.econbiz.de/10011377668
Saved in:
9
Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio
;
Obayashi, Yoshiki
;
Shalen, Catherine T.
- In:
Journal of banking & finance
52
(
2015
),
pp. 256-265
Persistent link: https://www.econbiz.de/10011377669
Saved in:
10
Libor Market Models with stochastic
volatility
and CMS spread option pricing
Lutz, Matthias
-
2011
Persistent link: https://www.econbiz.de/10009375797
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