Search Results - "Kitsul, Yuriy"
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The economics of options-implied inflation probability density functions
Published in Journal of financial economics (01-12-2013)“…Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these…”
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Journal Article -
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The Scarcity Value of Treasury Collateral: Repo-Market Effects of Security-Specific Supply and Demand Factors
Published in Journal of financial and quantitative analysis (01-10-2018)“…We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the specific collateral…”
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Journal Article -
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Market risk-based capital requirements, trading activity, and bank risk
Published in Journal of banking & finance (01-03-2020)“…This study investigates if market risk-based capital requirements (MRR) implemented in 1998 mitigated bank risk associated with trading activities. Recognizing…”
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Journal Article -
4
Essays in financial econometrics
Published 01-01-2005“…The first chapter of this study asks (1) whether a sufficiently flexible diffusion framework may be viewed as an empirically viable alternative to…”
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Dissertation
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5
Essays in financial econometrics
“…The first chapter of this study asks (1) whether a sufficiently flexible diffusion framework may be viewed as an empirically viable alternative to…”
Get full text
Dissertation