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Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate

115 citations0/0 files storedJournal of Financial and Quantitative Analysis

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

Abstract

Turan G. Bali, Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate, The Journal of Financial and Quantitative Analysis, Vol. 35, No. 2 (Jun., 2000), pp. 191-215

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 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 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure

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