The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
Year of publication: |
2003-06-04
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Authors: | To, Thuy Duong ; Chiarella, Carl |
Institutions: | Royal Economic Society - RES |
Subject: | term structure | Heath-Jarrow-Morton | Jump-diffusion | FIML | likelihood transformation | interest rate futures |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Royal Economic Society Annual Conference, 2003 Number 205 |
Classification: | C51 - Model Construction and Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
Bhar, Ram, (2004)
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A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
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A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
To, Thuy-Duong, (2004)
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