haku: @author Torous, W. / yhteensä: 5
viite: 3 / 5
| Tekijä: | Ball, C. Torous, W. |
| Otsikko: | The stochastic volatility of short-term interest rates: some international evidence |
| Lehti: | Journal of Finance
1999 : DEC, VOL. 54:6, p. 2339-2359 |
| Asiasana: | FINANCE VOLATILITY INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | This paper estimates a stochastic volatility model of short-term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a number of countries and reliable evidence of stochastic volatility is found throughout. In contrast to stock returns, interest rate volatility exhibits faster mean- reverting behavior and innovations in interest rate volatility are negligibly correlated with innovations in interest rates. |
SCIMA