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Term Structure and Volatility: Lessons from the Eurodollar Markets · Study

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PreprintTerm Structure and Volatility: Lessons from the Eurodollar Markets

Ruslan Bikbov2004

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Preprintgreen2004

Term Structure and Volatility: Lessons from the Eurodollar Markets

Ruslan Bikbov · Mikhail Chernov

43 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables 2003Affine processes and applications in finance 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure 2007Model Specification and Risk Premia: Evidence from Futures Options 2005Bond Yields and the Federal Reserve

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2008Modeling the Dynamics of Credit Spreads with Stochastic Volatility 2009Predictability of Interest Rates and Interest-Rate Portfolios 2009Stochastic Volatility

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2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Optionsarticle · 17 shared references 2006Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Riskpreprint · 11 shared references 2008Linear-quadratic term structure models – Toward the understanding of jumps in interest ratesarticle · 11 shared references 2009Stochastic Volatilityother · 11 shared references 2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Modelsarticle · 10 shared references 2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Optionsarticle · 10 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.562454

openalex_workW100785939

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