Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
收藏NBER2004-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w10756
下载链接
链接失效反馈官方服务：
资源简介：
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the
提供机构：
美国国家经济研究局
创建时间：
2004-09-01
