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Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704

Persistent link: https://www.econbiz.de/10011738502

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

The term structure of equity and variance risk premia

Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a … significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

Persistent link: https://www.econbiz.de/10011899885

Risk Premia and the VIX Term Structure

Johnson, Travis L. - 2018

information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …

Persistent link: https://www.econbiz.de/10012937549

UK term structure decompositions at the zero lower bound

Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015

This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...

Persistent link: https://www.econbiz.de/10011339919

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Krippner, Leo - 2011

With nominal interest rates currently at or near their zero lower bound (ZLB) in many major economies, it has become untenable to apply Gaussian affine term structure models (GATSMs) while ignoring their inherent non-zero probabilities of negative interest rates. In this article I modify GATSMs...

Persistent link: https://www.econbiz.de/10013119091

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Krippner, Leo - 2012

demonstrate the salient features of the ZLB-GATSM framework using a two-factor model. An illustrative estimation with U.S. term …

Persistent link: https://www.econbiz.de/10013101261

Measuring the Stance of Monetary Policy in Zero Lower Bound Environments

Krippner, Leo - 2012

I propose a simple framework that quantifies the stance of monetary policy as a 'shadow short rate' when the term structure is near the zero lower bound. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of the results,...

Persistent link: https://www.econbiz.de/10013103621

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Krippner, Leo - 2012

With nominal interest rates near the zero lower bound (ZLB) in many major economies, it is theoretically untenable to apply Gaussian affine term structure models (GATSMs) while ignoring their inherent material probabilities of negative interest rates. I correct that deficiency by adjusting the...

Persistent link: https://www.econbiz.de/10013109250

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Krippner, Leo - 2012

With nominal interest rates near the zero lower bound (ZLB) in many major economies, it has become untenable to apply Gaussian affine term structure models (GATSMs) while ignoring their inherent theoretical deficiency of non-zero probabilities of negative interest rates. In this article I...

Persistent link: https://www.econbiz.de/10013110640