The Information Content of the Term Structure of Risk-Neutral Skewness

SSRN Electronic Journal ◽

10.2139/ssrn.2971057 ◽

2017 ◽

Author(s):

Paul Borochin ◽

Hao Chang ◽

Yangru Wu

Keyword(s):

Information Content ◽

Term Structure ◽

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The information content of the term structure of risk-neutral skewness

Journal of Empirical Finance ◽

10.1016/j.jempfin.2020.06.003 ◽

2020 ◽

Vol 58 ◽

pp. 247-274 ◽

Author(s):

Paul Borochin ◽

Hao Chang ◽

Yangru Wu

Keyword(s):

Information Content ◽

Term Structure ◽

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The Information Content of ITM-Options for Risk-Neutral Skewness and Informed Trading

SSRN Electronic Journal ◽

10.2139/ssrn.3439906 ◽

2019 ◽

Author(s):

Hannes Mohrschladt ◽

Judith C. Schneider

Keyword(s):

Information Content ◽

Informed Trading ◽

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Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?

Journal of Financial Markets ◽

10.1016/j.finmar.2020.100614 ◽

2020 ◽

pp. 100614

Author(s):

Ging-Ginq Pan ◽

Yung-Ming Shiu ◽

Tu-Cheng Wu

Keyword(s):

Information Content ◽

Risk Neutral ◽

Skewness And Kurtosis

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THE INFORMATION CONTENT OF THE TERM STRUCTURE OF INTEREST RATES ABOUT FUTURE INFLATION—AN ILLUSTRATION OF THE IMPORTANCE OF ACCOUNTING FOR A TIME-VARYING REAL INTEREST RATE AND INFLATION RISK PREMIUM*

Manchester School ◽

10.1111/j.1467-9957.2006.00519.x ◽

2006 ◽

Vol 74 (s1) ◽

pp. 93-115

Author(s):

CHRISTIAN MOSE NIELSEN

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Information Content ◽

Term Structure ◽

Risk Premium ◽

Real Interest Rate ◽

Time Varying ◽

Inflation Risk ◽

Inflation Risk Premium

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Monetary policy rules and the information content of the term structure of interest rates

Applied Economics Letters ◽

10.1080/13504850500378049 ◽

2005 ◽

Vol 12 (15) ◽

pp. 933-936 ◽

Author(s):

Ralf Fendel ◽

Michael Frenkel

Keyword(s):

Monetary Policy ◽

Interest Rates ◽

Information Content ◽

Term Structure ◽

Policy Rules ◽

Monetary Policy Rules

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The Information Content of the Inflation Term Structure

SSRN Electronic Journal ◽

10.2139/ssrn.64421 ◽

1998 ◽

Author(s):

Francis Breedon ◽

Jagjit S. Chadha

Keyword(s):

Information Content ◽

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Validity of Expectation Hypothesis: Information Content of Term Structure

Asian Economic and Financial Review ◽

10.18488/journal.aefr.2018.86.762.774 ◽

2018 ◽

Vol 8 (6) ◽

pp. 762-774

Author(s):

Sumeet Roy ◽

Krishna Prasanna

Keyword(s):

Information Content ◽

Term Structure ◽

Expectation Hypothesis

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The information content of the German term structure regarding inflation

Applied Financial Economics ◽

10.1080/096031099332276 ◽

1999 ◽

Vol 9 (4) ◽

pp. 385-395 ◽

Author(s):

SEBASTIAN T. SCHICH

Keyword(s):

Information Content ◽

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Alternative Specifications of the German Term Structure and Its' Information Content Regarding Inflation

SSRN Electronic Journal ◽

10.2139/ssrn.871177 ◽

1996 ◽

Author(s):

Sebastian Schich

Keyword(s):

Information Content ◽

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A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

SSRN Electronic Journal ◽

10.2139/ssrn.2535281 ◽

2014 ◽

Author(s):

Roberto Casarin ◽

Fabrizio Leisen ◽

German Molina ◽

Enrique ter Horst

Keyword(s):

Random Field ◽

Term Structure ◽

Markov Random Field ◽

Field Calibration ◽

Markov Random ◽

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