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robert p. flood robert j. hodrick cambridge, ma 02138 march 1986 the research reported here is part of the nber's research program in financial markets and monetary
nber working paper series what hurts most? g-3 exchange rate or interest rate volatility carmen m. reinhart vincent raymond reinhart working paper 8535 http://www.nber.org/papers/w8535…
linear interest rate derivatives options on libor based instruments empirical dynamics of the atm swaption matrix interest rate volatility i. volatility in fixed income markets…
joim (2005) 1–34 implied volatility function interest rate models’ implied volatility function stochastic movements thomas s. y. ho, ph.d1∗, blessing mudavanhu, ph.d2†…
volatility forecast combination of brazilian selic interest rate and exchange rate by means of principal component analysis lizandra salau da rocha* adriano mendonÇa souza*…
slide 1 chapter 4 bond price volatility slide 2 introduction bond volatility is a result of interest rate volatility: when interest rates go up bond prices go down…
interest rate volatility and sudden stops: evidence from emerging markets ricardo reyes-heroles and gabriel tenorio abstract. we estimate a multi-country regime-switching…
nber working paper series testing uncovered interest parity at short and long horizons during the post-bretton woods era menzie d. chinn guy meredith working paper 11077…
7/31/2019 volatility of interest rate malaysia 2008 - 2011 1/311question: volatility of interest rate malaysia2008 - 2011contentsacknowledgment 21.0 executive summary 3-42.0…
c:\peter\...\newpaper5.dvihumps¤ (january 1999) ¤peter ritchken gratefully acknowledge ¯nancial support from the federal reserve bank of cleveland. ycase
interest rate volatility and risk management: evidence from cboe treasury optionsaccepted manuscript title: interest rate volatility and risk management: evidence from cboe
term structure of interest rate volatility and macroeconomic uncertainty ∗ drew d. creal† chicago booth jing cynthia wu‡ chicago booth first draft: november 1, 2013…
nber working paper series equity volatility and corporate bond yields john y. campbell glen b. taksler working paper 8961 http://www.nber.org/papers/w8961 national bureau…
srvix index: white 1 cboe proprietary information copyright © 2015 chicago board options exchange incorporated. all rights reserved. cboe interest rate swap volatility index…
interest rate volatility and risk in indian banking by ila patnaik and ajay shah -- imf working paper no. 04/17 ila patnaik and ajay shah © 2004 international monetary
journal of applied finance & banking, vol. 2, no. 6, 2012, 151-162 issn: 1792-6580 (print version), 1792-6599 (online) scienpress ltd, 2012 forecasting overnight interest…
antonio mele quasar first draft: november 10, 2009. this version: june 26, 2012. abstract interest rate volatility and equity volatility evolve heterogeneously over time,
1 on the relationship between interest rates and volatility regimes in daily stock returns wai mun fong department of finance and accounting national university of singapore…
effects of stochastic interest rates and volatility on contingent claims ∗ by naoto kunitomo graduate school of economics university of tokyo 7-3-1 hongo bunkyo-ku tokyo…