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JEL Code: E43
345,247 Total downloads
Showing Papers 251 - 300 of 1,881
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Seasonal Variation in Treasury Returns Rotman School of Management Working Paper No. 1076644
Mark J. Kamstra ,
Lisa A. Kramer and
Maurice D. Levi
Date Posted: December 20, 2007Last Revised: July 20, 2012348 downloads
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper; ECB Working Paper No. 157
Kjell G. Nyborg ,
Ulrich Bindseil
and
Ilya A. Strebulaev
Date Posted: May 29, 2003346 downloads
A Note on the Malliavin Differentiability of the Heston Volatility
Elisa Alos
and
Christian-Oliver Ewald
Date Posted: November 15, 2005343 downloads
Government Bond Risk Premiums in the EU Revisited: The Impact of the Financial Crisis ECB Working Paper No. 1152
Ludger Schuknecht ,
Jürgen von Hagen
and
Guido Wolswijk
Date Posted: February 27, 2010343 downloads
Measuring Systematic Risk in Emu Government Yield Spreads Review of Finance, Vol. 8, No. 2, pp. 171-197, 2004
Alois Geyer ,
Stephan Kossmeier and
Stefan Pichler
Date Posted: May 12, 2003Last Revised: September 15, 2011342 downloads
The 'Fed Model' and the Changing Correlation of Stock and Bond Returns: An Equilibrium Approach
Henrik Hasseltoft
Date Posted: March 17, 2009341 downloads
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions EFA 2003 Annual Conference Paper No. 859; Aarhus School of Business Finance Working Paper No. 02-24
Mikkel Svenstrup
Date Posted: April 16, 2003340 downloads
Path Dependence in Expected Inflation: Evidence from a New Term-Structure Model
Francis Yared
Date Posted: May 02, 2000340 downloads
Determinants of the Yield Curve - A Model for the Relationship between Risk and Yield Journal of Financial Transformation, Vol. 26, pp.79-84
Douglas Carr
Date Posted: January 31, 2008Last Revised: February 11, 2010338 downloads
An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives
Duy Minh Dang ,
Christina Christara
,
Kenneth R. Jackson
and
Asif Lakhany
Date Posted: March 26, 2012Last Revised: May 05, 2013337 downloads
Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates
Massoud Heidari and
Liuren Wu
Date Posted: August 03, 2006337 downloads
Empirical Estimation of the Term Structure of Implicit Discount Rates in Security Valuation
Neil Garrod and
Aljosa Valentincic
Date Posted: February 14, 2001336 downloads
Yield Curve Fitting with Term Structure Models: Empirical Evidence from the Euro Market Revista de Economía Aplicada, Vol. 13, No. 39, 2005,
Javier F. Navas
Date Posted: November 20, 2007335 downloads
Affine Diffusion Processes: Theory and Applications
Damir Filipovic and
Eberhard Mayerhofer
Date Posted: February 22, 2009334 downloads
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model CAF Working Paper No. 147
Malene Shin Jensen
and
Mikkel Svenstrup
Date Posted: January 02, 2004332 downloads
Fiscal Policy and the Term Structure of Interest Rates
Qiang Dai
and
Thomas Philippon
Date Posted: January 05, 2005330 downloads
Forward Measures in a Ho and Lee Jump Diffusion Model EFMA 2001 Lugano Meetings
David B. Colwell and
Solene Arcus
Date Posted: May 23, 2001329 downloads
A Nonparametric Analysis of the Forward Rate Volatilities Office for Futures and Options Research Working Paper No. 99-05
Neil D. Pearson and
Anjun Zhou
Date Posted: December 12, 1999328 downloads
Interest Rate Risk Measurement in Indian Banking Industry – An Analytical Research Study International Journal of Economic Research, Vol. 7, No. 13, January-June 2010
Charumathi Balakrishnan
Date Posted: October 11, 2010323 downloads
The Determinations of Equity Value with Stochastic Term Structure of Discount Factors Middlesex Business School Accounting and Finance Working Paper
Pengguo Wang
Date Posted: March 10, 2002323 downloads
Asset Pricing and the Credit Market
Francis A. Longstaff and
Jiang Wang
Date Posted: May 07, 2008322 downloads
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Ferdinando Ametrano
and
Marco Bianchetti
Date Posted: February 18, 2013Last Revised: April 03, 2013320 downloads
Monetary Policy and the Yield Curve FEDS Working Paper No. 2003-15
Antulio N. Bomfim
affiliation not provided to SSRN
Date Posted: July 24, 2003318 downloads
Monetary Policy Transmission in the Euro Area: Any Changes After EMU? ECB Working Paper No. 240
Ignazio Angeloni and
Michael Ehrmann
Date Posted: December 02, 2003316 downloads
The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market EFA 2006 Zurich Meetings
Manfred Frühwirth ,
Paul Schneider and
Leopold Sögner
Date Posted: February 27, 2006Last Revised: October 15, 2008316 downloads
Short Rate Expectations, Term Premiums, and Central Bank Use of Derivatives to Reduce Policy Uncertainty FEDS Working Paper No. 1999-14
Peter A. Tinsley
Date Posted: April 26, 1999314 downloads
An Intensity-Based Model for Pricing Variable Coupon Bonds
Albert Lee Chun
Date Posted: June 14, 2005313 downloads
The Concept of Riba in Islamic Banking Law: An Introduction Journal of International Banking Law & Regulation, Vol. 26, Issue 10, pp. 405-411, 2011
Chetan Phull
affiliation not provided to SSRN
Date Posted: October 06, 2011Last Revised: December 20, 2012313 downloads
Shape Factors and Cross-Sectional Risk
Andrea Roncoroni ,
Stefano Galluccio
and
Paolo Guiotto
affiliation not provided to SSRN
Date Posted: December 14, 2005Last Revised: March 29, 2010309 downloads
The Term Structure of Interest Rates and Expected Economic Growth
Eliseo Navarro
Date Posted: May 14, 2005309 downloads
Determinants of Excess (Credit) Spreads: Evidence from the US Bond Market from 1919 to 2006
Snorre Lindset
and
Sjur Westgaard
Date Posted: March 26, 2007308 downloads
Interest Rate Liberalization: Some Lessons from Africa IMF Working Paper No. 91/121
Bart Turtelboom
Date Posted: February 15, 2006308 downloads
The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds University of Illinois Working Paper No. 00-0120, Bank of Finland Discussion Papers 22/2000
Juha Seppala
Date Posted: May 01, 2001308 downloads
Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia ECB Working Paper No. 274; EFA 2003 Annual Conference Paper No. 268; EFMA 2003 Helsinki Meetings
Peter Hördahl and
David Vestin
Date Posted: June 26, 2003305 downloads
The Interest Rate Swap Spreads and Monetary Policy in Japan
Takayasu Ito
Date Posted: September 01, 2008305 downloads
The Performance of Deterministic and Stochastic Interest Rate Risk Measures
Luís Oliveira ,
João Pedro Vidal Nunes and
Luís Malcato
Date Posted: March 08, 2008305 downloads
Banking Spreads in Latin America IMF Working Paper No. 06/44
Gaston Gelos
Date Posted: March 23, 2006303 downloads
The Interbank Market after August 2007: What Has Changed, and Why? Bank of Italy Temi di Discussione (Working Paper) No. 731
Paolo Angelini
,
Andrea Nobili
and
Cristina Picillo
Date Posted: May 11, 2010303 downloads
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution University of Siena Economics Working Paper No. 380
Carlo Mari
and
Roberto Renò
Date Posted: October 04, 2003302 downloads
Estimating the Term Structure of Government Securities in Turkey Bogazici Univeristy Economics Working Paper No. ISS/EC-2004-03
C. Emre Alper ,
Aras Akdemir
and
Kazim Kazimov
Date Posted: August 22, 2004302 downloads
A New Law for the Bond Rating Industry Regulation, Vol 30, No. 1, Spring 2007 pp. 48-52
Lawrence J. White
Date Posted: April 09, 2007301 downloads
Bonds Futures: Delta? No Gamma!
Marc P. A. Henrard
Date Posted: June 30, 2006301 downloads
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
Andrew Ang ,
Geert Bekaert and
Min Wei
Date Posted: August 09, 2005301 downloads
Rare Disasters and Exchange Rates Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Emmanuel Farhi and
Xavier Gabaix
Date Posted: December 13, 2007Last Revised: April 30, 2008300 downloads
Credit Rationing Effects of Credit Value-at-Risk Tinbergen Institute Discussion Paper No. 2004-032/2
Jan Frederik Slijkerman
,
D. J. C. Smant
and
Casper G. de Vries
Date Posted: March 22, 2004299 downloads
Term Structure Estimation with Survey Data on Interest Rate Forecasts FEDS Working Paper No. 2005-48, AFA 2007 Chicago Meetings Paper
Athanasios Orphanides
Date Posted: March 20, 2006299 downloads
Measuring Equilibrium Real Interest Rates: What Can we Learn from Yields on Indexed Bonds? FEDS Working Paper No. 2001-53
Antulio N. Bomfim
affiliation not provided to SSRN
Date Posted: December 17, 2001297 downloads
The CARMA Interest Rate Model
Arne Andresen
,
Fred Espen Benth
,
Steen Koekebakker
and
Valeriy Zakamulin
Date Posted: May 30, 2008Last Revised: February 01, 2013297 downloads
Does the Bond Market do Better than the Stock Market in Predicting Economic Growth?
Campbell R. Harvey
Date Posted: October 09, 2005296 downloads
Financial Crisis, Equity Capital and the Liquidity Trap
Oren Levintal
Date Posted: November 21, 2008Last Revised: June 26, 2009293 downloads
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