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

implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …

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

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

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 …