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Purebred or hybrid?: Reproducing the volatility in term structure dynamics · Study

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ArticlePurebred or hybrid?: Reproducing the volatility in term structure dynamics

Robert F. Dittmar2003

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Articlegreen2003

Purebred or hybrid?: Reproducing the volatility in term structure dynamics

Robert F. Dittmar · A. Ronald Gallant · Bin Gao

48 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

1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1977An equilibrium characterization of the term structure 1981Martingales and stochastic integrals in the theory of continuous trading 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2000Specification Analysis of Affine Term Structure Models 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

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2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Options 2022Negative Interest Rate Policy and the Yield Curve 2009Stochastic Volatility 2011Discrete time Wishart term structure models 2016Risk Premia and Volatilities in a Nonlinear Term Structure Model

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2001Recent Advances in Estimating Term-Structure Modelsarticle · 16 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 15 shared references 2000Quadratic Term Structure Modelspreprint · 15 shared references 2008Linear-quadratic term structure models – Toward the understanding of jumps in interest ratesarticle · 14 shared references 2005Wishart Quadratic Term Structure Modelspreprint · 13 shared references 2009Stochastic Volatilityother · 13 shared references

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Year2003

Typearticle

Published2003-04-05

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations48

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4076(03)00106-4

openalex_workW2116739845

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2004Early exercise boundary and option prices in Lévy driven models