Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
收藏NBER2007-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/w12962
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资源简介：
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds (
提供机构：
美国国家经济研究局
创建时间：
2007-03-01
