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- W2185596324 abstract "Forecasting volatility of interest rates remains a challenge in nance. An important aspect of any dynamic model of volatility is the fact that volatility is a positive process, not only with respect to the historical measure, but also with respect to the risk neutral measure. As a consequence, risk neutral forecasts of volatility must also always remain positive. One way for this admissibility condition to hold is for volatility to represent an autonomous process under the risk neutral measure. In contrast to the historical time series, the cross section of bond yield provides very precise information about risk neutral forecasts and therefore strong guidance to which combinations of yields are autonomous. We conclude that in the stochastic volatility setting, the no arbitrage assumption provides strong over-identifying constraints which, when the model is correctly specied, improve inference on the volatility instrument. We also consider" @default.
- W2185596324 created "2016-06-24" @default.
- W2185596324 creator A5034299156 @default.
- W2185596324 date "2011-01-01" @default.
- W2185596324 modified "2023-09-27" @default.
- W2185596324 title "Can Expectations Be Informative about Interest Rate Volatility" @default.
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