consisting of inflation and real activity, and financial market factors consisting of funding liquidity and market volatility. We … widespread maximum-likelihood estimation …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has …

required for estimation of both discount and FRA rates with dfferent tenors (e.g. Overnight, Libor 3 months, etc … Agreements (FRA), Futures, Swaps, OIS, and Basis Swaps, are derived from scratch. The concrete EUR market case is worked out, and …

, inflation, real output, and financial market volatility, are extracted from a set of macroeconomic and financial data series …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … output are insignificant. In times of stress, financial market volatility has a similar impact and the impacts of inflation …

apply my framework to United States yield curve data, with robust estimation via the iterated extended Kalman filter, and …