-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …-dimensional affine state vector. The model has a very good fit to an extensive panel data set of interest rates, swaptions and caps. In …

asset prices, a substantial term premium for long bonds and bursts of conditional volatility in rates of return. …

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …

empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not …