7 results
Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 53 / Issue 6 / December 2018
- Published online by Cambridge University Press:
- 02 October 2018, pp. 2559-2586
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- December 2018
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Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 53 / Issue 2 / April 2018
- Published online by Cambridge University Press:
- 09 March 2018, pp. 937-963
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- April 2018
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Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 52 / Issue 5 / October 2017
- Published online by Cambridge University Press:
- 04 October 2017, pp. 2119-2156
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- October 2017
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Anchoring Credit Default Swap Spreads to Firm Fundamentals
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 51 / Issue 5 / October 2016
- Published online by Cambridge University Press:
- 16 December 2016, pp. 1521-1543
- Print publication:
- October 2016
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The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 45 / Issue 5 / October 2010
- Published online by Cambridge University Press:
- 12 August 2010, pp. 1279-1310
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- October 2010
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A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 44 / Issue 3 / June 2009
- Published online by Cambridge University Press:
- 01 June 2009, pp. 517-550
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- June 2009
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Asset Pricing under the Quadratic Class
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 37 / Issue 2 / June 2002
- Published online by Cambridge University Press:
- 06 April 2009, pp. 271-295
- Print publication:
- June 2002
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