Forecasting swap rate volatility with information from swaptions
Year of publication: |
2023
|
---|---|
Authors: | Liu, Xiaoxi ; Xie, Jinming |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 4, p. 455-479
|
Subject: | model-free implied volatility | out-of-sample | predictive regression | swaption | Volatilität | Volatility | Swap | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Zinsderivat | Interest rate derivative | Wechselkurs | Exchange rate | Zinsstruktur | Yield curve | Regressionsanalyse | Regression analysis |
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