Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate …The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter …-term interest rate forecasts two subsequent interest rate changes: the change in yield of the longer-term bond over the life of the …

major finding is that the volatility of interest rates is increasing in the level of interest rates only for sharply upward …

procedure. It is argued in this paper that part of the very large increase in interest rate volatility which resulted from the …

explored that evidence of excess volatility need not imply the existence of unexploited profit opportunities under the rational …

theoretically that volatility in fundamental variables such as the nominal interest rate that drive exchange rate volatility can … investment on exchange rate volatility. It is the first paper to provide empirical evidence that interest rate volatility may …