Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Term structure slope"'
Publikováno v:
Financial Innovation, Vol 7, Iss 1, Pp 1-25 (2021)
Abstract This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland,
Externí odkaz:
https://doaj.org/article/8f590b508d4e442aaeeea8bade06daca
Publikováno v:
Financial Innovation, Vol 7, Iss 1, Pp 1-25 (2021)
Financial Innovation
Financial Innovation
This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Ja
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c57807bc3b9e7461252f441417561577
https://doaj.org/article/8f590b508d4e442aaeeea8bade06daca
https://doaj.org/article/8f590b508d4e442aaeeea8bade06daca
Akademický článek
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Autor:
Ai Jun Hou, Lars L. Norden
Publikováno v:
SSRN Electronic Journal.
A VIX futures calendar spread involves buying a futures contract maturing in one month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the tot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf8a5e86165b2fa7b592473a28d4e38a
https://doi.org/10.2139/ssrn.2968918
https://doi.org/10.2139/ssrn.2968918
Publikováno v:
Applied Economics Letters. 9:585-593
This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is rele
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c8ff322757163e86e023599910097a3
https://doi.org/10.1080/13504850110111199
https://doi.org/10.1080/13504850110111199
Akademický článek
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Autor:
Alfonso Novales, Emilio Domínguez
Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting economi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::6237f4d6c4f360d61e546b5539789352
http://eprints.ucm.es/7688/1/0226.pdf
http://eprints.ucm.es/7688/1/0226.pdf
