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- W2089689654 abstract "Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a ‘dual role’ in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine three-factor model results in a variance state variable that, while instrumental in explaining the shape of the yield curve, is essentially unrelated to GARCH estimates of the quadratic variation of the spot rate process or to implied variances from options. We then investigate four-factor affine models. Of the models tested, only the model that exhibits ‘unspanned stochastic volatility’ (USV) generates both realistic short rate volatility estimates and a good cross-sectional fit. Our findings suggest that short rate volatility cannot be extracted from the cross-section of bond prices. In particular, short rate volatility and convexity are only weakly correlated." @default.
- W2089689654 created "2016-06-24" @default.
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- W2089689654 creator A5036753897 @default.
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- W2089689654 date "2009-10-01" @default.
- W2089689654 modified "2023-10-17" @default.
- W2089689654 title "Can interest rate volatility be extracted from the cross section of bond yields?☆" @default.
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- W2089689654 doi "https://doi.org/10.1016/j.jfineco.2008.06.007" @default.
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