-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 … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional …

-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 … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …