Upload truongxuyen
View 213
Download 0
Embed Size (px) 344 x 292 429 x 357 514 x 422 599 x 487
Citation preview
Stochastic Volatility and Jumps in Interest Rates: An Empirical Analysis
Chapter 4 Bond Price Volatility. Introduction Bond volatility is a result of interest rate volatility: When interest rates go up bond prices go down
NBER WORKING PAPER SERIES WHAT HURTS MOST? … · What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility Carmen M. Reinhart and Vincent Raymond Reinhart NBER Working Paper
Forecasting Overnight Interest Rates Volatility with ... 2_6_11.pdf · Forecasting Overnight Interest Rates Volatility 155 ... legitimacy of using ARCH/GARCH model. In this study,
Interest Rate Volatility and Sudden Stops: An Empirical ... · Number 1209 July 2017 Interest Rate Volatility and Sudden Stops: An Empirical Investigation Ricardo Reyes-Heroles and
Why Does Bad News Increase Volatility and Interest Rate ...centerforpbbefr.rutgers.edu/2014NCTU/upload data... · 3/27/2012 · 1 . Why Does Bad News Increase Volatility and Interest
NBER WORKING PAPER SERIES ASSET PRICE VOLATILITY, …
Market Volatility Update - Fidelity Investments...Although bonds generally present less short-term risk and volatility than stocks, bonds do contain interest rate risk (as interest
NBER WORKING PAPER SERIES TESTING UNCOVERED INTEREST ... · NBER WORKING PAPER SERIES TESTING UNCOVERED INTEREST PARITY ... The hypothesis that interest rate ... If the conditions
Multi-dimensional stochastic volatility for Interest Rates · Multi-dimensional stochastic volatility for Interest Rates Ernesto Palidda To cite this version: Ernesto Palidda. Multi-dimensional
Interest Rate Volatility and No-Arbitrage Term Structure ... · Interest Rate Volatility and No-Arbitrage A ne Term Structure Models Scott Josliny Anh Lez This draft: April 3, 2016
NBER WORKING PAPER SERIES MANAGING ......Managing Volatility and Crises: A Practitioner’s Guide Overview Joshua Aizenman and Brian Pinto NBER Working Paper No. 10602 June 2004 JEL
Interest Rate Volatility and Risk in Indian Banking
Interest Rate Option Pricing With Volatility Humps
Credit to Private Sector Interest Spread and Volatility in Credit Flows
NBER WORKING PAPER SERIES EXPLANATIONS OF EXCHANGE … · 2008-08-06 · nber working paper series explanations of exchange-rate volatility and other empirical regularities in some
Asymmetric Volatility and Risk in Equity Markets · Asymmetric Volatility and Risk in Equity Markets Geert Bekaert Columbia University, Stanford University, and NBER ... dampening
What Drives Interest Rates Volatility? · PDF fileWhat Drives Interest Rates Volatility? ... normal, CEV: square-root, ... CMT Yield 0 100 200 300 400 500 Moving Window CMT Yield BP
An Interest Rate Swap Volatility Index and Contract · gap for swap rate volatility. We use data on interest rate swaptions and bonds to construct two indexes of interest rate swap
Time series analysis of interest rates volatility and ... · Time series analysis of interest rates volatility and stock returns in Ghana ... This sole critique of the CAPM has motivated
Volatility Forecast Combination of Brazilian Selic ... · Volatility Forecast Combination of Brazilian Selic interest rate and ... - pca time series, volatility models, selic interest
INTEREST RATE VOLATILITY AND SUDDEN STOPS: EVIDENCE … · INTEREST RATE VOLATILITY AND SUDDEN STOPS: EVIDENCE FROM EMERGING MARKETS ... we nd that regimes of high volatility …
Volatility and Welfare - University of Notre Dameesims1/lester_pries_sims_March19.pdf · Volatility and Welfare Robert Lester ... Eric Sims University of Notre Dame, NBER, and ifo
Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity · 1 REGIME SWITCHES IN EXCHANGE RATE VOLATILITY AND UNCOVERED INTEREST PARITY# Hibiki Ichiue♦ and Kentaro
Using Implied Volatility to Measure Uncertainty About ... · PDF fileUsing Implied Volatility to Measure Uncertainty About Interest Rates ... Implied volatility shows that uncertainty
Portfolio Hedging with Interest Rate Volatility · Portfolio Hedging with Interest Rate Volatility CBOE RMC Europe, 5 September 2014 Presented by Yoshiki Obayashi, Managing Director,
NBER WORKING PAPER SERIES HOW DO BANKS SET INTEREST RATES
NBER WORKING PAPER SERIES ON FORECASTING INTEREST … · NBER Working Paper 410 November 1979 On Forecasting Interest Rates: An Efficient Markets Perspective ABTRACT This paper reviews,
On the Relationship between Interest Rates and Volatility ...bizfaculty.nus.edu/Documents/Research Paper Series/rps0324.pdf · 2 On the Relationship between Interest Rates and Volatility
An Interest Rate Swap Volatility Index and Contract - CBOE
