Jacobs, Kris; Karoui, Lotfi - In: Journal of Financial Economics 91 (2009) 3, pp. 288-318
We study the ability of three-factor affine term-structure models to extract conditional volatility using interest rate swap yields for 1991-2005 and Treasury yields for 1970-2003. For the Treasury sample, the correlation between model-implied and EGARCH volatility is between 60% and 75%. For...
