Collin-Dufresne, Pierre; Jones, Christopher S.; … - National Bureau of Economic Research (NBER) - 2004
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the...