Predicting Interest Rate Volatility Using Information on the Yield Curve-Reference-Cited by-同舟云学术

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Predicting Interest Rate Volatility Using Information on the Yield Curve

Published:2015-07-02 Issue:3 Volume:15 Page:347-386
ISSN:1369-412X
Container-title:International Review of Finance
language:en
Short-container-title:Int. Rev. Finan.

Author:

Takamizawa Hideyuki¹

Affiliation:

1. Graduate School of Commerce and Management; Hitotsubashi University; Kunitachi Tokyo Japan

Funder

Japan Society for the Promotion of Science

Nomura Foundation

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Reference44 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate;Aït-Sahalia;Review of Financial Studies,1996

2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models;Andersen;Journal of Finance,2010

3. Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate;Andersen;Journal of Econometrics,1997a

4. Andersen , T. G. J. Lund 1997b Stochastic Volatility and Mean Drift in the Short Rate Diffusion: Sources of Steepness, Level and Curvature in the Yield Curve

5. The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence;Ball;Journal of Finance,1999

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

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

2. A term structure model of interest rates with quadratic volatility;Quantitative Finance;2018-02-13

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