Term Structure and Volatility: Lessons from the Eurodollar Markets-Reference-Cited by-同舟云学术

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Term Structure and Volatility: Lessons from the Eurodollar Markets

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bikbov Ruslan,Chernov Mikhail

Publisher

Elsevier BV

Reference44 articles.

1. Quadratic term structure models: Theory and evidence;Dong-Hyun Ahn;Review of Financial Studies,2002

2. Estimating Affine multifactor term structure models using closed-form likelihood expansions, Working paper;Yacine A�?ta�?t-Sahalia;Review of Financial Studies,1996

3. Implied volatility functions in arbitrage-free term structure models;Kaushik Amin;Journal of Financial Economics,1994

4. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables;Andrew Ang;Journal of Monetary Economics,2003

Cited by 24 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. References;Dynamic Term Structure Modeling;2015-09-19

2. Stochastic Volatility;Encyclopedia of Complexity and Systems Science;2015

3. Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*;Review of Finance;2011-11-30

4. Expectations Hypothesis;Encyclopedia of Quantitative Finance;2010-05-15

5. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models;The Journal of Finance;2010-03-19

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