Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
By Pierre Collin-Dufresne, Robert S. Goldstein. 2002
317 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/1ce2885f170a6d1028a34b23c60b0928906453d6
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In Finance
- Liuren Wu
- Peter P. Carr
- Anders B. Trolle
- Eduardo S. Schwartz
- Paul Schneider
- J. Wu
- Christian Wagner
- Drew D. Creal
Citations in the corpus
- Identification of Maximal Affine Term Structure Models (2008, unknown): “We investigate this question further in a companion paper (Collin-Dufresne et al. (2007)).”
- Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “A similar expression is (9)The idea of a forex-specific uncertainty, σ(2) w,t, is closely related to the unspanned volatility literature initiated by Collin-Dufresne and Goldstein (2002), and to the more general concept of a hidden risk factor (Duffee, 2011).”
- Bond Variance Risk Premia (2012, unknown): “Additionally, see Collin-Dufresne and Goldstein (2002), Heidari and Wu (2003), Casassus, Collin-Dufresne, and Goldstein (2005), Collin-Dufresne, Goldstein, To summarize, in this paper, we provide new empirical facts about variance risk premia in the fixed income markets.”
- Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009, methodology): “The proof is similar to those in Duffie, Pan, and Singleton (2000) and Collin-Dufresne and Goldstein (2003). We can rewrite Equation (19) as”
- A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “Furthermore, the dynamics of v i (u) under the forward swap measure 10 Other approximation schemes have been developed by Collin-Dufresne and Goldstein (2002b); Singleton and Umantsev (2002); and Schrager and Pelsser (2006).”
- Quadratic Variance Swap Models (2016, unknown): “, Constantinides (1992), Goldstein (2000), Leippold and Wu (2002), Collin-Dufresne and Goldstein (2002), Ahn, Dittmar, and Gallant (2002), Kimmel (2004), and Collin-Dufresne, Goldstein, and Jones (2009).”
- Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, background): “…and Vega (2003), Ang and Piazzesi (2003), Campbell and Shiller (1991), Campbell and Ammer (1993), Cochrane (1991), Cochrane and Piazzesi (2006), Collin-Dufresne and Goldstein (2002), Collin-Dufresne, Goldstein, and Martin (2001), Dumas and Solnik (1995), Fama and Bliss (1987), and Ilmanen…”