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Nonparametric estimation of state-price densities implicit in interest rate cap prices

Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376

Persistent link: https://www.econbiz.de/10003896303

Specification analysis of affine term structure models

Dai, Qiang; Singleton, Kenneth J. - 1997

Persistent link: https://www.econbiz.de/10000637523

Estimating LIBOR swaps spot-volatilities : the EpiVolatility model

Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004

Persistent link: https://www.econbiz.de/10003487959

Recursive Bayesian estimation in forward price models implied by fair pricing

El Qalli, Yassine - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 301-333

Persistent link: https://www.econbiz.de/10008860389

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … model using simulation-based inference. Applying the SVNS model to monthly U.S. zero-coupon yields, we find significant … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing …