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An Empirical Analysis of the Swaption Cube

Trolle, Anders B. - 2010

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

Persistent link: https://www.econbiz.de/10013135764

Are Stocks Really Less Volatile in the Long Run?

Pastor, Lubos - 2009

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an...

Persistent link: https://www.econbiz.de/10012764748

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Andersen, Torben G. - 2010

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds...

Persistent link: https://www.econbiz.de/10012760310

The Level and Volatility of Interest Rates in the United States : the Roles of Expected Inflation, Real Rates, and Taxes

Makin, John H.; Tanzi, Vito - 2021

This paper attempts to demonstrate a need to expand the simple Fisherian view whereby changes in interest rates are explained largely by changes in expected inflation. It presents and tests a model of expected, after-tax real interest rate behavior which, together with a group of explanatory...

Persistent link: https://www.econbiz.de/10013240983

Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms

Bordo, Michael D. - 2011

This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...

Persistent link: https://www.econbiz.de/10013127756

An Evaluation of Multi-Factor Cir Models Using Libor, Swap Rates, and Cap and Swaption Prices

Kaplin, Andrew - 2010

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …

Persistent link: https://www.econbiz.de/10012763074

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...

Persistent link: https://www.econbiz.de/10012785748

Are All Credit Default Swap Databases Equal?

Mayordomo, Sergio - 2016

sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …

Persistent link: https://www.econbiz.de/10013008753

Simple Variance Swaps

Martin, Ian - 2011

the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a … relative of the variance swap that in several respects has more desirable properties. First, simple variance swaps are robust …

Persistent link: https://www.econbiz.de/10013128275

A Preferred-Habitat Model of the Term Structure of Interest Rates

Vayanos, Dimitri - 2009

We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and...

Persistent link: https://www.econbiz.de/10013155019

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