Purebred or hybrid?: Reproducing the volatility in term structure dynamics

Author： Ahn D.-H.   Dittmar R.F.   Gallant A.R.   Gao B.  

Publisher： Elsevier

ISSN： 0304-4076

Source： Journal of Econometrics, Vol.116, Iss.1, 2003-09, pp. : 147-180

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Implied volatility from the term structure: a simple analytical approximation

By Steeley J.M.  

Economics Letters, Vol. 57, Iss. 3, 1997-12 ,pp. : 345-352

Elsevier

Access to resources Recommend Favorite

Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility

By  

THE JOURNAL OF FUTURES MARKETS, Vol. 35, Iss. 3, 2015-03 ,pp. : 274-297

John Wiley & Sons Inc

Access to resources Recommend Favorite

Dividend Dynamics and the Term Structure of Dividend Strips

By  

THE JOURNAL OF FINANCE, Vol. 70, Iss. 3, 2015-06 ,pp. : 1115-1160

John Wiley & Sons Inc

Access to resources Recommend Favorite

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

By  

THE JOURNAL OF FINANCE, Vol. 22-1082, Iss. 2, 2010-04 ,pp. : 603-653

John Wiley & Sons Inc

Access to resources Recommend Favorite

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

By  

THE JOURNAL OF FINANCE, Vol. 65, Iss. 2, 2010-04 ,pp. : 603-653

John Wiley & Sons Inc

Access to resources Recommend Favorite