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Do interest rate options contain information about excess returns? · Study

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ArticleDo interest rate options contain information about excess returns?

Caio Ibsen Rodrigues De Almeida2011

OA

Articlegreen2011

Do interest rate options contain information about excess returns?

Caio Ibsen Rodrigues De Almeida · Jeremy J. Graveline · Scott Joslin

59 citations·0/0 files stored·Journal of Econometrics

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

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1993Dynamic Asset Pricing Theory.2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View

Cited by

2017Staying at zero with affine processes: An application to term structure modelling 2007A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives 2011Information in the Term Structure of Yield Curve Volatility 2017Interest rate volatility, the yield curve, and the macroeconomy 2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Options 2017Expected Business Conditions and Bond Risk Premia

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2009Stochastic Volatilityother · 23 shared references 2017Interest rate volatility, the yield curve, and the macroeconomyarticle · 22 shared references 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Modelspreprint · 17 shared references 2017Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?article · 16 shared references 2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Optionsarticle · 16 shared references 2008Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets☆article · 15 shared references

Details

Year2011

Typearticle

Published2011-02-27

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2011.02.007

openalex_workW1994501398

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2016Risk Premia and Volatilities in a Nonlinear Term Structure Model