Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10001369031
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...
Persistent link: https://www.econbiz.de/10012783833
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...
Persistent link: https://www.econbiz.de/10012467934