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)

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)

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• A multiplicative model for volume and volatility
• An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
• Do interest rate options contain information about excess returns?
• Nonlinear interest rate dynamics and implications for the terms structure
• Interest rate option pricing and volatility forecasting: an application to Brazil
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Impact analysis of mean reverting function to short term rate model with stochastic volatilities
• Estimating the short rate from term structures in the Chan-Karolyi-Longstaff-Sanders model
• Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
• The surprise element: Jumps in interest rates.
• Testing for the Box-Cox parameter for an integrated process
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• EMU equity markets' return variance and spillover effects from the short-term interest rate
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• Term structure forecasting in affine framework with time-varying volatility
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity

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