SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Term Structure and Volatility: Lessons from the Eurodollar Markets
16 references·3 citing·40 second hopsampled
Term Structure and Volatility: Lessons from the Eurodollar Markets (2004)Term Structure and Volatility: Lessons fr…Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields (2007)Regime Shifts in a Dynamic Te…Model Specification and Risk Premia: Evidence from Futures Options (2007)Model Specification and Risk …Bond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Statistical and Economic …Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)Modeling Sovereign Yield Spre…Affine processes and applications in finance (2003)Affine processes and applicat…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…The surprise element: jumps in interest rates (2002)The surprise element: jumps i…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002)Do Bonds Span the Fixed Incom…On the Term Structure of Default Premia in the Swap and LIBOR Markets (2001)On the Term Structure of Defa…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Stochastic Volatility (2009)Stochastic VolatilityPredictability of Interest Rates and Interest-Rate Portfolios (2009)Predictability of Interest Ra…Modeling the Dynamics of Credit Spreads with Stochastic Volatility (2008)Modeling the Dynamics of Cred…A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Stock Return Predictability: Is it There? (2001)Macro Factors and the Term Structure of Interest Rates (2006)A New Perspective on Gaussian Dynamic Term Structure Models (2010)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Option pricing when underlying stock returns are discontinuous (1976)Statistical Methods for Meta-Analysis (1988)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Deviations from Put-Call Parity and Stock Return Predictability (2010)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Volatility Spreads and Expected Stock Returns (2009)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2007Model Specification and Risk Premia: Evidence from Futures Options630 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt381 cited
  • 2002The surprise element: jumps in interest rates337 cited
  • 2002Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility322 cited
  • 2007Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

288 cited
  • 2001On the Term Structure of Default Premia in the Swap and LIBOR Markets228 cited
  • Cited by

    • 2008Modeling the Dynamics of Credit Spreads with Stochastic Volatility38 cited
    • 2009Predictability of Interest Rates and Interest-Rate Portfolios34 cited
    • 2009Stochastic Volatility33 cited