Languages
Pages
Legal
Explore all categories to find your favorite topic
Realized Volatility, Liquidity, and Corporate Yield Spreads Marco Rossi ∗ December 7, 2009 Abstract This study revisits the relative role of credit risk and illiquidity…
1 The Effect of Interest Rate Volatility on Corporate Yield Spreads on both Noncallable and Callable Bonds Dong H. Kim and Duane Stock Michael F. Price College of Business…
No Slide Titlewhere Yn is the nominal yield, Yr is the real yield - yield on U.S. Treasury inflation-indexed bonds (see WSJ), I is the expected inflation rate over the life
1. Understanding Yield Spreads 2. Interest Rate Determination The interest rate offered on a particular bond issue depends on the interest rate that can be earned on risk-free…
4. UNDERSTANDING YIELD SPREADS Based on Fixed Income Analysis by Frank J. Fabozzi, CFA Program Curriculum, Volume 5, 2011. 1. Introduction The interest rate offered on a…
8/2/2019 Bond Yield Spreads 1/14FIXED INCOME SECURITIES &FINANCIAL INNOVATIONSPresented ByJayalakshmi (10SBCM0025)Vittal K V (10SBCM0305)Daily Market Analytics of Gsec…
8/7/2019 A Theory of Volatility Spreads 1/29Working Paper No. RHS-06-028January 2006A Theory of Volatility SpreadsGurdip BakshiDilip MadanThis Paper can be d ownloa ded without…
Fundamentals Support Low Volatility, Tight Spreads (Capital Market Research) (Weekly Market Outlook)CAPI TAL MAR KETS R ESEAR CH Moody’s Analytics markets and distributes
BIS Papers No 2 197 Trading volumes, volatility and spreads in FX markets: evidence from emerging market countries Gabriele Galati, Bank for International Settlements Abstract…
Volatility Spreads and Earnings Announcement Returns Yigit Atilgan� Abstract Prior research documents that volatility spreads predict stock returns. If the trading activity…
Abstract The term structure of interest rates is often summarized using a handful of yield factors that capture shifts in the shape of the yield curve. In this paper, we
Implied Volatility Spreads and Expected Market Returns Yigit Atilgan Turan G Bali and K Ozgur Demirtas� Abstract This paper investigates the intertemporal relation between…
A guide to trading US and Au bond futures KEIRAN HORTH & GUY BOWER PRICING AND CHARTING YIELD CURVE SPREADS © Propex Derivatives. Horth & Bower Contents 1. Basic…
The Puzzle and Its Solution Aleksey Semenov Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy under the Executive Committee of the
Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market∗ Jing-Zhi Huang† Tsinghua University Zhan Shi§ Abstract What
BOND PRICE VOLATILITY PRICE YIELD PRICE YIELD RELATIONSHIP CONVEX SHAPE WHAT IS VOLATILITY ? Volatility, a statistic similar to standard deviation, measures the uncertainty…
BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati BANK…
BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES, VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati…
On Credit Spreads Credit Spread Options and Implied Probabilities of Default John Hatgioannides1 Faculty of Finance Cass Business School UK and George Petropoulos Eurobank…
Using Yield Spreads to Estimate Expected Returns on Debt and Equity Ian A. Cooper∗ Sergei A. Davydenko London Business School This version: 27 February 2003 ABSTRACT This…