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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
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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
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
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,
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CBOE Interest Rate Swap Volatility Index · PDF fileThis white paper explains the design and properties of the CBOE Interest Rate Swap Volatility ... value of future volatility implied
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MONETARY POLICY AND ASSET PRICE VOLATILITY Working Paper ... · PDF fileMonetary Policy and Asset Price Volatility Ben Bernanke and Mark Gertler NBER Working Paper No. 7559 February
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
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
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 No-Arbitrage Term Structure ... · Interest Rate Volatility and No-Arbitrage A ne Term Structure Models Scott Josliny Anh Lez This draft: April 3, 2016
