haku: @author Collin-Dufresne, P. / yhteensä: 5
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| Tekijä: | Collin-Dufresne, P. Goldstein, R. S. Jones, C. S. |
| Otsikko: | Can interest rate volatility be extracted from the cross section of bond yields? |
| Lehti: | Journal of Financial Economics
2009 : OCT, VOL 94:1, p. 47-66 |
| Asiasana: | term structure of interest rates volatility bond yields |
| Kieli: | eng |
| Tiivistelmä: | The article studies term structure with stochastic volatility and finds that estimation of a three-factor affine model leads to a variance state variable which is unrelated to GARCH estimates. The authors continue by conducting an analysis of four-factor affine models. Results show that only a USV (unspanned stochastic volatility) model is able to produce reliable short rate volatility estimates and also a good cross-sectional fit. The article demonstrates that the cross-section of bond prices is not an antecedent of short rate volatility and that short rate volatility and convexity correlate, but only very weakly. |
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