Showing 1 - 10 of 11,947
We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. The resulting...
Persistent link: https://www.econbiz.de/10011499535
This paper examines the importance of realized volatility in bond yield density prediction. We incorporate realized volatility into a Dynamic Nelson-Siegel (DNS) model with stochastic volatility and evaluate its predictive performance on US bond yield data. When compared to popular...
Persistent link: https://www.econbiz.de/10012938238
We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. The resulting...
Persistent link: https://www.econbiz.de/10013210358
In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...
Persistent link: https://www.econbiz.de/10013318878
This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we show that the US and the euro area displayed a...
Persistent link: https://www.econbiz.de/10013095619
The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice (or tree) approach...
Persistent link: https://www.econbiz.de/10012905831
In their work, Brigo and Capponi (2010) introduce a numerical approach for calculating credit valuation adjustments (CVA) for credit default swaps (CDS). In contrast to previous research, they consider the default of the party doing the calculation, and its correlation to the defaults of the...
Persistent link: https://www.econbiz.de/10013111095
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...
Persistent link: https://www.econbiz.de/10014047692
We present a new volatility model, simple to implement, that combines various attractive features such as an exponential moving average of the price and a leverage effect. This model is able to capture the so-called 'panic effect', which occurs whenever systematic risk becomes the dominant...
Persistent link: https://www.econbiz.de/10013036643
This paper first evaluates the volatility modeling in the Bitcoin market in terms of its realized volatility, which is considered to be a reliable proxy of its true volatility. In addition, we also rely on the important work by Patton (2011), which shows good measures for making the forecast...
Persistent link: https://www.econbiz.de/10012909374