Results 201 to 210 of about 11,519 (249)

Term Structure Shapes and Their Consistent Dynamics in the Svensson Family

Mathematical Finance, EarlyView.
ABSTRACT We examine the shapes attainable by the forward‐ and yield‐curve in the widely‐used Svensson family, including the Nelson‐Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes.
Martin Keller‐Ressel, Felix Sachse
wiley   +1 more source

Dynamic characteristics of expectations of short-term interest rate and a generalized Vasicek model. [PDF]

Heliyon
Guan Y, Fang Z, Wang X, Wang X, Yu T.
europepmc   +1 more source

The credit risk information dynamics between the cds and equity markets: empirical evidence and application to capital structure arbitrage

, 2017
YiDing Xiang
openalex   +1 more source

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

Mathematical Finance, EarlyView.
ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions.
Dennis Schroers
wiley   +1 more source

Cross-section without factors: a string model for expected returns. [PDF]

Quant Finance
Distaso W, Mele A, Vilkov G.
europepmc   +1 more source

Order Routing and Market Quality: Who Benefits From Internalization?

Mathematical Finance, EarlyView.
ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley   +1 more source

Exploring the ethical issues posed by AI and big data technologies in drug development. [PDF]

Front Public Health
Fan Y, Wu Y, Wang Z.
europepmc   +1 more source

Congressional Arbitrage at the Executive's Expense: The Speech or Debate Clause and the Unenforceable Stock Act

, 2015
Anna Fodor
openalex   +1 more source

Missed opportunities and missing markets: Spatio-temporal arbitrage of rice in Madagascar

, 2019
Christine M. Moser, Christopher B. Barrett, Bart Minten   +2 more
openalex   +2 more sources

Compliance in China

Regulation &Governance, EarlyView.
ABSTRACT Much of scholarly writing on compliance is derived from the experiences of Western multi‐national corporations operating in developed economies. This introduction to the special issue “China in Compliance” departs from such convention by asking how compliance works in China.
Matthew S. Erie
wiley   +1 more source