The Dynamics of Short-Term Interest Rate Volatility Reconsidered

DOI10.1023/A:1009714314989MaRDI QIDQ4798670zbMATH OpenFDO

Authors Kees G. Koedijk, François Nissen, Peter C. Schotman, C. C. P. Wolff

Publication date 12 March 2003

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1009714314989

zbMATH Keywords

interest ratelevel effectpricing of bond options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• scientific article; zbMATH DE number 912569
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
• A note on the volatility term structure in short rate models
• Implied Volatility of interest rate options: an empirical investigation of the market model

Cited in

(21)

• Nonlinear interest rate dynamics and implications for the terms structure
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
• Term structure forecasting in affine framework with time-varying volatility
• The surprise element: Jumps in interest rates.
• Testing for the Box-Cox parameter for an integrated process
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
• An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options
• ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK
• A multiplicative model for volume and volatility
• Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
• Estimating the short rate from term structures in the Chan-Karolyi-Longstaff-Sanders model
• scientific article; zbMATH DE number 7107673 (Why is no real title available?)
• Impact analysis of mean reverting function to short term rate model with stochastic volatilities
• scientific article; zbMATH DE number 5499153 (Why is no real title available?)
• EMU equity markets' return variance and spillover effects from the short-term interest rate
• Estimation and specification test for diffusion models with stochastic volatility
• Do interest rate options contain information about excess returns?
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
• Interest rate option pricing and volatility forecasting: an application to Brazil

This page was built for publication: The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4798670)