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Identifying volatility risk premia from fixed income Asian options. (2009). Vicente, José Valentim ; Almeida, Caio.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:33:y:2009:i:4:p:652-661.

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  1. Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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  2. Do the central bank actions reduce interest rate volatility?. (2017). Moura, Jaqueline Terra ; Machado, Jose Valentim.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:65:y:2017:i:c:p:129-137.

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  3. Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. (2015). Wohar, Mark ; Kellard, Neil ; Jiang, Ying.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:56:y:2015:i:c:p:36-54.

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  4. Riding the swaption curve. (2015). Duyvesteyn, Johan ; de Zwart, Gerben .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:57-75.

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  5. Do inflation-linked bonds contain information about future inflation?. (2013). Guillén, Osmani ; Guillén, Osmani ; Guillen, Osmani Teixeira de Carvalho, ; Vicente, Jose Valentim Machado, ; Guillén, Osmani.
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:67:y:2013:i:2:a:7365.

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  6. Do inflation-linked bonds contain information about future inflation?. (2013). Guillén, Osmani ; Guillén, Osmani ; Jose Valentim Machado Vicente, ; Guillén, Osmani ; Osmani Teixeira De Carvalho Guillen, ; Osmani Teixeira de Carvalho Guillen, .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:67:n:2:a:6.

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  7. Term structure movements implicit in Asian option prices. (2012). Almeida, Caio ; Vicente, Jose.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:1:p:119-134.

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  8. Foreign exchange, fractional cointegration and the implied-realized volatility relation. (2010). Kellard, Neil ; Dunis, Christian ; Sarantis, Nicholas .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:4:p:882-891.

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  9. The role of macroeconomic variables in sovereign risk. (2010). Vicente, José Valentim ; Matsumura, Marco S. ; Vicente, Jose Valentim Machado, .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:11:y:2010:i:3:p:229-249.

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  10. Do Inflation-linked Bonds Contain Information about Future Inflation?. (2010). Vicente, José Valentim ; Guillén, Osmani ; Guillén, Osmani ; Jose Valentim Machado Vicente, ; Guillén, Osmani ; Osmani Teixeira De Carvalho Guillen, ; Osmani Teixeira de Carvalho Guillen, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:214.

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  11. Are interest rate options important for the assessment of interest rate risk?. (2009). Vicente, José Valentim ; Almeida, Caio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:8:p:1376-1387.

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References

References cited by this document

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