Similar Search Results

An enterprise perspective of performance attribution : introducing the keel model

Brooks, Robert - In: Journal of risk 20 (2017/2018) 2, pp. 53-84

Persistent link: https://www.econbiz.de/10013262949

London Inter-Bank Offer Rate (LIBOR) versus Treasury rate : evidence from the parsimonious term structure model

Brooks, Robert; Yan, David Yong - In: The journal of fixed income 9 (1999) 1, pp. 71-83

Persistent link: https://www.econbiz.de/10001432380

An empirical analysis of term premiums using stochastic dominance

Levy, Haim - In: Journal of banking & finance 13 (1989) 2, pp. 245-260

Persistent link: https://www.econbiz.de/10001069317

A note on the variance of spot interest rates

Brooks, Robert - In: Journal of banking & finance 14 (1990) 1, pp. 215-225

Persistent link: https://www.econbiz.de/10001088196

Are term premiums risk premiums?

Brooks, Robert - In: Advances in quantitative analysis of finance and … 3 (1995), pp. 131-146

Persistent link: https://www.econbiz.de/10001201309

Implied volatilities, stochastic interest rates, and currency futures, options valuation : an empirical investigation

Bhargava, Vivek; Brooks, Robert; Malhotra, Davinder Kumar - In: The European journal of finance 7 (2001) 3, pp. 231-246

Persistent link: https://www.econbiz.de/10001603503

Information in the US treasury term structure of interest rates

Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: The financial review : the official publication of the … 47 (2012) 2, pp. 247-272

Persistent link: https://www.econbiz.de/10009545426

Spread options and risk management : lognormal versus normal distribution approach

Brooks, Robert; Cline, Brandon N. - In: Financial services review : the journal of individual … 24 (2015) 1, pp. 15-35

Persistent link: https://www.econbiz.de/10011312166

A comparison of the information in the LIBOR and CMT term structures of interest rates

Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: Journal of banking & finance 54 (2015), pp. 239-253

Persistent link: https://www.econbiz.de/10011377823

A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates

Brooks, Robert - 2014

We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report two novel findings. First, we document that the information contained in terms structures are significantly different...

Persistent link: https://www.econbiz.de/10013059006