Forecasting swap rate volatility with information from swaptions-Reference-Cited by-同舟云学术

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Forecasting swap rate volatility with information from swaptions

Published:2022-12-29 Issue:4 Volume:43 Page:455-479
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Liu Xiaoxi¹,Xie Jinming²³^ORCID

Affiliation:

1. Representative Office for Asia and the Pacific Bank for International Settlements Hong Kong China

2. Hong Kong Financial Research Institute of Bank of China Bank of China (Hong Kong) Hong Kong China

3. Department of Finance The Chinese University of Hong Kong Hong Kong China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22395

Reference31 articles.

1. Measuring Economic Policy Uncertainty*

2. Estimating quadratic variation using realized variance

3. The pricing of commodity contracts

4. Option Prices, Implied Price Processes, and Stochastic Volatility

5. Towards a Theory of Volatility Trading

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