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Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
16 references·12 citing·37 second hop
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility (2004)Can Interest Rate Volatility be Extracted…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)Estimating and Testing Expone…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1995)Automatic Lag Selection in Co…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks (2021)An International Dynamic Term…Interest rate volatility, the yield curve, and the macroeconomy (2017)Interest rate volatility, the…Sovereign default risk premia: Evidence from the default swap market (2012)Sovereign default risk premia…Yield Curve and Volatility: Lessons from Eurodollar Futures and Options (2010)Yield Curve and Volatility: L…Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options (2009)Unspanned Stochastic Volatili…Stochastic Volatility (2009)Stochastic VolatilityIdentifying Term Structure Volatility from the LIBOR-Swap Curve (2008)Identifying Term Structure Vo…Switching VARMA Term Structure Models (2006)Switching VARMA Term Structur…Do Bonds Span Volatility Risk in the U.S. Treasury Market? 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References

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  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1995Automatic Lag Selection in Covariance Matrix Estimation481 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

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267 cited

Cited by

  • 2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options56 cited
  • 2008Identifying Term Structure Volatility from the LIBOR-Swap Curve56 cited
  • 2006Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk55 cited
  • 2006Switching VARMA Term Structure Models54 cited
  • 2005Unspanned stochastic volatility and fixed income derivatives pricing48 cited
  • 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models45 cited
  • 2017Interest rate volatility, the yield curve, and the macroeconomy44 cited
  • 2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Options35 cited
  • 2004Earnings announcements and equity options35 cited
  • 2009Stochastic Volatility33 cited
  • 2012Sovereign default risk premia: Evidence from the default swap market31 cited
  • 2021An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks30 cited