We study the dynamics of risk premiums on the German bond market, employing no-arbitrage term-structure models with …

short-term rate with stochastic volatility. Our estimation strategy is based both on moment conditions needed to guarantee … which standard ARCH models approximate only specific diffusion models (those in which the variance of volatility is … proportional to the square of volatility), our estimation strategy relies on ARCH models that approximate any CEV-diffusion model …

show that the US and the euro area displayed a limited but significant spillover of volatility from money market to longer … empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished. …