An Empirical Analysis of the Swaption Cube
收藏NBER2010-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w16549
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资源简介：
We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of the dynamics of the swaption cube. Using a model independent approach, we establish a set of stylized facts regarding the cross-sectional and time-series variation of conditional volatility and skewness
提供机构：
美国国家经济研究局
创建时间：
2010-11-01
