The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk … detail, we highlight that the gamma in the two Exponential models is positive: so, the "green" credit risk volatility is more … of our knowledge this is the first study that analyzes the specific credit risk component of the green bond yields: we …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …