Analysis of drawdowns and drawups in the US$ interest-rate market
From MaRDI portal
Publication:3437385
DOI10.1080/14697680600680555zbMath1134.91555OpenAlexW2153473993MaRDI QIDQ3437385
Riccardo Rebonato, Valerio Gaspari
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600680555
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ Evidence for state transition and altered serial codependence in US$ interest rates
Cites Work
- Unnamed Item
- Unnamed Item
- The estimation of a nonlinear moving average model
- Bootstrap methods: another look at the jackknife
- A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
- The likelihood function of stationary autoregressive-moving average models
- AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION
- The Distribution Theory of Runs
This page was built for publication: Analysis of drawdowns and drawups in the US$ interest-rate market