Similar Search Results

On the information in the interest rate term structure and option prices

Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127

Persistent link: https://www.econbiz.de/10003153989

Derivative pricing with liquidity risk : theory and evidence from the credit default swap market

Bongaerts, Dion; Jong, Frank de; Driessen, Joost - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 203-240

Persistent link: https://www.econbiz.de/10008991178

An asset pricing approach to liquidity effects in corporate bond markets

Bongaerts, Dion; Jong, Frank de; Driessen, Joost - In: The review of financial studies 30 (2017) 4, pp. 1229-1269

Persistent link: https://www.econbiz.de/10011749361

Time series and cross-section information in affine term-structure models

Jong, Frank de - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 300-314

Persistent link: https://www.econbiz.de/10001493859

Time-series and cross-section information in affine term structure models

Jong, Frank de - 1999

Persistent link: https://www.econbiz.de/10013422714

The dynamics of the forward interest rate curve : a formulation with state variables

Jong, Frank de; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 131-157

Persistent link: https://www.econbiz.de/10001436356

Time-series and cross-section information in affine term structure models

Jong, Frank de - 1997

Persistent link: https://www.econbiz.de/10000972613

Forward versus spot interest rate models of the term structure

Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21

Persistent link: https://www.econbiz.de/10001497753

Is default event risk priced in corporate bonds?

Driessen, Joost - In: The review of financial studies 18 (2005) 1, pp. 165-195

Persistent link: https://www.econbiz.de/10002646689

Common factors in international bond returns

Driessen, Joost (contributor); … - 2000

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...

Persistent link: https://www.econbiz.de/10001528975