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BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997

a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …

Persistent link: https://www.econbiz.de/10005413172

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange. …

Persistent link: https://www.econbiz.de/10005413218

Dynamic Risk Profile of the US Term Structure by Wavelet MRA

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in...

Persistent link: https://www.econbiz.de/10005125063

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives

Heidari, Massoud; Wu, Liuren - EconWPA - 2002

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the ``amplification'' of yield curve residuals in pricing …

Persistent link: https://www.econbiz.de/10005134665

The Term Structure of Interest Rates and Future Inflation

Kotlán, Viktor - EconWPA - 2000

Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations...

Persistent link: https://www.econbiz.de/10005412621

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Heidari, Massoud; WU, Liuren - EconWPA - 2002

interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the … three additional factors to capture the movement of the implied volatility surface. …

Persistent link: https://www.econbiz.de/10005134877

A learning hypothesis of the term structure of interest rates

Romhányi, Balázs - EconWPA - 2005

Recent empirical results about the US term structure are difficult to reconcile with the classical hypothesis of rational expectations even if time-varying but stationary term premia are allowed for. A hypothesis of rational learning about the conditional variance of the log pricing kernel is...

Persistent link: https://www.econbiz.de/10005412568

Dynamics of Interest Rate Curve by Functional Auto-Regression

Kargin, Vladislav; Onatski, Alexei - EconWPA - 2004

The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation technique is better suited for prediction purposes as opposed to...

Persistent link: https://www.econbiz.de/10005412689

Taking Positive Interest Rates Seriously

Pan, Enlin; Wu, Liuren - EconWPA - 2004

We present a dynamic term structure model in which interest rates of all maturities are bounded from below at zero. Positivity and continuity, combined with no arbitrage, result in only one functional form for the term structure with three sources of risk. One dynamic factor controls the level...

Persistent link: https://www.econbiz.de/10005413120

Heterogeneous Time Preferences and Interest Rates - The Preferred Habitat Theory Revisited

Riedel, Frank - EconWPA - 1999

The influence of heterogeneous time preferences on the term structure is investigated. Motivated by the Preferred Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred habitats is proposed. In a heterogeneous world, preferred habitats can explain...

Persistent link: https://www.econbiz.de/10005413212