Is the corporate bond market forward looking?:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Europ. Central Bank
2007
|
| Schriftenreihe: | Working paper series / European Central Bank
800 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 36 S. |
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MARC
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Datensatz im Suchindex
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| adam_text | Titel: Is the corporate bond market forward looking?
Autor: Hilscher, Jens
Jahr: 2007
CONTENTS
Abstract 4
Non-technical summary 5
1 Introduction 7
2 Bond prices and volatility in the Merton model 9
3 Data description i i
3.1 Summary statistics 13
4 Predicting future volatility ¦¦¦;
4.1 Cross-sectional heterogeneity in implied
volatility •
4.2 Maturity and leverage interactions 17
4.3 Adding single stock option implied
volatility 18
5 Pricing using different measures of volatility I V
5.1 Pricing bonds using a linear model 21
6 Conclusion 22
A The Merton model 2 3
References 24
Tables 23
European Central Bank Working Paper Scries 34
Working Paper Series Ko 800
|
| adam_txt |
Titel: Is the corporate bond market forward looking?
Autor: Hilscher, Jens
Jahr: 2007
CONTENTS
Abstract 4
Non-technical summary 5
1 Introduction 7
2 Bond prices and volatility in the Merton model 9
3 Data description i i
3.1 Summary statistics 13
4 Predicting future volatility ¦¦¦;
4.1 Cross-sectional heterogeneity in implied
volatility •
4.2 Maturity and leverage interactions 17
4.3 Adding single stock option implied
volatility 18
5 Pricing using different measures of volatility I V
5.1 Pricing bonds using a linear model 21
6 Conclusion 22
A The Merton model 2 3
References 24
Tables 23
European Central Bank Working Paper Scries 34
Working Paper Series Ko 800 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-02T20:08:58Z |
| indexdate | 2024-07-09T21:12:59Z |
| institution | BVB |
| language | English |
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| spelling | Hilscher, Jens Verfasser aut Is the corporate bond market forward looking? by Jens Hilscher Frankfurt am Main Europ. Central Bank 2007 36 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 800 European Central Bank Working paper series 800 (DE-604)BV012681744 800 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016389674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hilscher, Jens Is the corporate bond market forward looking? |
| title | Is the corporate bond market forward looking? |
| title_auth | Is the corporate bond market forward looking? |
| title_exact_search | Is the corporate bond market forward looking? |
| title_exact_search_txtP | Is the corporate bond market forward looking? |
| title_full | Is the corporate bond market forward looking? by Jens Hilscher |
| title_fullStr | Is the corporate bond market forward looking? by Jens Hilscher |
| title_full_unstemmed | Is the corporate bond market forward looking? by Jens Hilscher |
| title_short | Is the corporate bond market forward looking? |
| title_sort | is the corporate bond market forward looking |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016389674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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