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suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of …
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The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...
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