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Purebred or hybrid?: Reproducing the volatility in term structure dynamics
16 references·7 citing·37 second hopsampled
Purebred or hybrid?: Reproducing the volatility in term structure dynamics (2003)Purebred or hybrid?: Reproducing the vola…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance (1999)Using Daily Range Data to Cal…A Parametric Nonlinear Model of Term Structure Dynamics (1999)A Parametric Nonlinear Model …Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Exploiting the Conditional De…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Negative Interest Rate Policy and the Yield Curve (2022)Negative Interest Rate Policy…Risk Premia and Volatilities in a Nonlinear Term Structure Model (2016)Risk Premia and Volatilities …Discrete time Wishart term structure models (2011)Discrete time Wishart term st…Yield Curve and Volatility: Lessons from Eurodollar Futures and Options (2010)Yield Curve and Volatility: L…Stochastic Volatility (2009)Stochastic VolatilityDo Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Do Bonds Span Volatility Risk…Early exercise boundary and option prices in Lévy driven models (2004)Early exercise boundary and o…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Term Premia and Interest Rate Forecasts in Affine Models (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Spanning and derivative-security valuation (2000)Arbitrage Theory in Continuous Time (2004)Specification Tests in Econometrics (1978)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Stochastic Differential Equations and Diffusion Processes (1983)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model394 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates387 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics

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335 cited
  • 1999Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance267 cited
  • Cited by

    • 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models45 cited
    • 2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Options35 cited
    • 2022Negative Interest Rate Policy and the Yield Curve34 cited
    • 2009Stochastic Volatility33 cited
    • 2011Discrete time Wishart term structure models31 cited
    • 2016Risk Premia and Volatilities in a Nonlinear Term Structure Model31 cited
    • 2004Early exercise boundary and option prices in Lévy driven models31 cited