Fixed income and structured finance
- Optimal Volatility Dependent Derivatives in the Stochastic Volatility ModelArtem Dyachenko and Marc Oliver RiegerThe Journal of Derivatives November 2020, jod.2020.1.122; DOI: https://doi.org/10.3905/jod.2020.1.122
- Robust and Interpretable Liquidity Proxies for Market and Funding LiquidityRiccardo Rebonato and Hong SherwinThe Journal of Fixed Income August 2020, jfi.2020.1.103; DOI: https://doi.org/10.3905/jfi.2020.1.103
- Pattern Risk of the Securitized Biopharmaceutical Mega-FundCarlos E. Ortiz, Charles A. Stone and Anne ZissuThe Journal of Structured Finance July 2020, 26 (2) 30-44; DOI: https://doi.org/10.3905/jsf.2020.1.103
- How Do Credit Markets React to Earnings Releases: Empirical Analysis and Implications for InvestorsArik Ben Dor, Jingling Guan and Xiaming ZengThe Journal of Fixed Income July 2020, jfi.2020.1.101; DOI: https://doi.org/10.3905/jfi.2020.1.101
- Equity Momentum in European CreditsHendrik Kaufmann and Philip MessowThe Journal of Fixed Income June 2020, 30 (1) 29-44; DOI: https://doi.org/10.3905/jfi.2020.1.097
- The Index Effect in the Corporate Bond MarketFriedrich-Carl FranzThe Journal of Fixed Income June 2020, 30 (1) 46-69; DOI: https://doi.org/10.3905/jfi.2020.1.082
- Rates Factors and Global Asset AllocationJoshua Kothe, Harald Lohre and Carsten RotherThe Journal of Fixed Income June 2020, jfi.2020.1.098; DOI: https://doi.org/10.3905/jfi.2020.1.098
- Active Fixed Income IllusionsJordan Brooks, Tony Gould and Scott RichardsonThe Journal of Fixed Income March 2020, 29 (4) 5-19; DOI: https://doi.org/10.3905/jfi.2020.1.086
- Beyond Carry and Momentum in Government BondsJérôme Gava, William Lefebvre and Julien TurcThe Journal of Fixed Income March 2020, 29 (4) 48-74; DOI: https://doi.org/10.3905/jfi.2020.1.085
- Fair Value Measurement in the Life Settlement MarketAlexander Braun and Jiahua XuThe Journal of Fixed Income March 2020, 29 (4) 100-123; DOI: https://doi.org/10.3905/jfi.2020.1.084
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