consistent method for estimating the functional auto-regression of interest rate curve. The theory is applied to estimating …

frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In this paper we … estimating volatility using high frequency data, such a bias grows less than linearly in the number of intraday observatio …

high frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In …

-factor settings with latent variables that are readily interpreted as the conditional mean and volatility of the interest rate, and … perform illustrative calibrations for the yield curve. We select a three-factor specification featuring stochastic volatility ….S. short rate dynamics. The inclusion of the stochastic volatility factor is critical, whereas the stochastic mean offers a …

and curvature in the yield curve. We model the volatility dynamics in these yield factors using both GARCH and level … effects and find that both are needed to adequately model yield-factor volatility. The level effect is routinely used when … modeling volatility in short-term interest rates and we find that the level of the short-rate is useful in modeling the …

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric …