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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

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, Joost (contributor); Klaassen, Pieter (contributor) - 2000

Persistent link: https://www.econbiz.de/10001528991

Libor and Swap Market Models for the pricing of interest rate derivatives : an empirical analysis

Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - 2000

Persistent link: https://www.econbiz.de/10001473517

Testing affine term structure models in case of transaction costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - 1999 - 2. vers

Persistent link: https://www.econbiz.de/10001416198

Common factors in international bond returns

Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - In: Journal of international money and finance 22 (2003) 5, pp. 629-656

Persistent link: https://www.econbiz.de/10001787726

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, Joost; Klaassen, Pieter; Melenberg, Bertrand - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 3, pp. 635-672

Persistent link: https://www.econbiz.de/10001794047

Testing affine term structure models in case of transaction costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - In: Journal of econometrics 126 (2005) 1, pp. 201-232

Persistent link: https://www.econbiz.de/10002538651

A simple approach to estimate long-term interest rates

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - In: Journal of pension economics and finance : JPEF 23 (2024) 3, pp. 413-437

Persistent link: https://www.econbiz.de/10015154263

Explaining the level of credit spreads : option-implied jump risk premia in a firm value model

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242

Persistent link: https://www.econbiz.de/10003765155

Individual stock-option prices and credit spreads

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J.; … - In: Journal of banking & finance 32 (2008) 12, pp. 2706-2715

Persistent link: https://www.econbiz.de/10003796160

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