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Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Persistent link: https://www.econbiz.de/10013502696

Interest rate forecasts, state price densities and risk premium from Euribor options

Ivanova, Vesela; Puigvert Gutiérrez, Josep Maria - In: Journal of banking & finance 48 (2014), pp. 210-223

Persistent link: https://www.econbiz.de/10010508142

Essays in financial economics

Lu, Yinqiu - 2005

Persistent link: https://www.econbiz.de/10003553447

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2006

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...

Persistent link: https://www.econbiz.de/10012466328

The term structure of option-implied volatility and future realized volatility

Shi, Yukun; Zhang, Hao; Xu, Yaofei; Zhao, Yang - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 13, pp. 2997-3022

Persistent link: https://www.econbiz.de/10012211068

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2010

Persistent link: https://www.econbiz.de/10012761268

Bewertung unbedingter börsenbehandelter Zins-Derivate und Analyse von Arbitrage-Gewinnmöglichkeiten mit Hilfe von Arbitrage-Signalen

Giegold, Uwe Alexander - 2004

Persistent link: https://www.econbiz.de/10012874882

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479

Persistent link: https://www.econbiz.de/10014293114

Forecasting Term Structure of Libor Swap Rates

Kuo, Mei-Mei - 2013

structure of HIBOR (Hong Kong Interbank Offered Rate) swap rates by means of the Nelson-Siegel factors and principal components … yield levels. Further, we survey the predictability in the shape of the swap yield curve for these models. Our results … forecasting HIBOR swap yields …

Persistent link: https://www.econbiz.de/10013090111

Forecasting term structure of HIBOR swap rates

Kuo, Mei-mei; Tai, Shih-wen; Lin, Bing-huei - In: The international journal of business and finance … 6 (2012) 4, pp. 87-100

Persistent link: https://www.econbiz.de/10009633846