-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute …

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

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …

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

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

. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …

investigate whether the cyclical behavior of interest rate volatility could account for either or both effects. We find that while … volatility displays important correlations with both the term structure of interest rates and GDP, it does not appear to account …