NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...

42

Transcript of NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...

Page 1: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 2: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 3: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 4: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 5: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 6: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 7: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 8: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 9: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 10: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 11: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 12: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 13: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 14: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 15: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 16: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 17: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 18: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 19: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 20: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 21: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 22: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 23: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 24: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 25: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 26: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 27: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 28: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 29: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 30: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 31: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 32: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 33: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 34: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 35: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 36: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 37: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 38: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 39: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 40: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 41: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...
Page 42: NBER WORKING PAPER SERIES INTEREST RATE VOLATILITY ...

Interest Rate Volatility - I. Volatility in fixed income markets

Interest Rate Volatility - I. Volatility in fixed income markets

Firm Volatility in Granular Networks...Firm Volatility in Granular Networks Bernard Herskovic, Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh NBER Working Paper No. 19466 September

Firm Volatility in Granular Networks...Firm Volatility in Granular Networks Bernard Herskovic, Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh NBER Working Paper No. 19466 September

An Interest Rate Swap Volatility Index and Contract - CBOE

An Interest Rate Swap Volatility Index and Contract - CBOE

Volatility of Interest Rate Malaysia 2008 - 2011

Volatility of Interest Rate Malaysia 2008 - 2011

Interest Rate Volatility and Risk Management: Evidence ...

Interest Rate Volatility and Risk Management: Evidence ...

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

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

NBER WORKING PAPER SERIES EQUITY VOLATILITY … · Equity Volatility and Corporate Bond Yields John Y. Campbell and Glen B. Taksler NBER Working Paper No. 8961 May 2002 JEL No. G12

NBER WORKING PAPER SERIES EQUITY VOLATILITY … · Equity Volatility and Corporate Bond Yields John Y. Campbell and Glen B. Taksler NBER Working Paper No. 8961 May 2002 JEL No. G12

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

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

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

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 No-Arbitrage Term Structure ... · Interest Rate Volatility and No-Arbitrage A ne Term Structure Models Scott Josliny Anh Lez This draft: April 3, 2016

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 WHAT HURTS MOST? … · What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility Carmen M. Reinhart and Vincent Raymond Reinhart NBER Working Paper

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

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

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

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

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

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

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

Interest Rate Volatility and Risk in Indian Banking

Interest Rate Volatility and Risk in Indian Banking

Interest Rate Models’ Implied Volatility Function ...thomasho.com/papers/JOIM2005353 Final.pdf · JOIM (2005) 1{34 Implied Volatility Function Interest Rate Models’ Implied Volatility

Interest Rate Models’ Implied Volatility Function ...thomasho.com/papers/JOIM2005353 Final.pdf · JOIM (2005) 1{34 Implied Volatility Function Interest Rate Models’ Implied Volatility

Impact of Low Interest Rates and Stock Market Volatility ... · participating whole life (wl) section 2: impact of low interest rates and stock market volatility on specific policy

Impact of Low Interest Rates and Stock Market Volatility ... · participating whole life (wl) section 2: impact of low interest rates and stock market volatility on specific policy

INTEREST RATE VOLATILITY AND SUDDEN STOPS: EVIDENCE … · INTEREST RATE VOLATILITY AND SUDDEN STOPS: EVIDENCE FROM EMERGING MARKETS ... we nd that regimes of high volatility …

INTEREST RATE VOLATILITY AND SUDDEN STOPS: EVIDENCE … · INTEREST RATE VOLATILITY AND SUDDEN STOPS: EVIDENCE FROM EMERGING MARKETS ... we nd that regimes of high volatility …

NBER WORKING PAPER SERIES TESTING UNCOVERED INTEREST ... · NBER WORKING PAPER SERIES TESTING UNCOVERED INTEREST PARITY ... The hypothesis that interest rate ... If the conditions

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

Multi-dimensional stochastic volatility for Interest Rates · Multi-dimensional stochastic volatility for Interest Rates Ernesto Palidda To cite this version: Ernesto Palidda. Multi-dimensional