Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
By Pierre Collin-Dufresne, Christopher S. Jones, Robert S. Goldstein. 2004
158 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/37363c1fcdf62e937c5b93f76afbf86c3a6b20cd
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In Finance
- Jens H. E. Christensen
- Glenn D. Rudebusch
- J. Wu
- A. Schrimpf
- Anna Cieślak
- Tomasz Wieladek
- Martin Weale
- Carlo Altavilla
Citations in the corpus
- MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS: MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS (2017, unknown): “The literature on affine term structure models demonstrates that to have ht realistically capture yield volatility, it cannot price bonds; see, e.g. Collin-Dufresne, Goldstein, and Jones(2009) and Creal and Wu(2015b).”
- Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? (2013, methodology): “Collin-Dufresne et al. (2009) also use option-implied volatility as a measure of realized volatility. (25)In their analysis of Japanese government bond yields, Kim and Singleton (2012) also report a close match to yield volatilities for their Gaussian shadow-rate model.”
- Quadratic Variance Swap Models (2016, unknown): “Various extensions of affine models have been suggested by, e.g., 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).”
- Affine Term Structure Models (2010, unknown): “5Discrete-time analogous to affine diffusions is defined in Darolles et al. (2001) and applied to term structure modeling in Gouriéroux et al.”
- Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008, unknown): “Cheridito, Filipovic, and Kimmel [2003] and Collin-Dufresne, Goldstein, and Jones [2004] .”
- Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “model. Collin-Dufresne, Goldstein, and Jones (2004) discuss an equivalent canonical continuous-time model based on an invariant transformation of DS’s canonical model.”