A term structure model of interest rates with quadratic volatility-Reference-Cited by-同舟云学术

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A term structure model of interest rates with quadratic volatility

Published:2018-02-13 Issue:7 Volume:18 Page:1173-1198
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Takamizawa Hideyuki¹

Affiliation:

1. Graduate School of Commerce and Management, Hitotsubashi University, Kunitachi, Tokyo, 186-8601Japan.

Funder

Japan Center for Economic Research

Japan Society for the Promotion of Science

Tokio Marine Kagami Memorial Foundation

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1417623

Reference24 articles.

1. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

2. Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options

3. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

4. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

5. Identification of Maximal Affine Term Structure Models

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1. How arbitrage-free is the Nelson–Siegel model under stochastic volatility?;International Review of Economics & Finance;2022-05

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