Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
By Torben G. Andersen, Luca Benzoni. 2010
149 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/58d20f536d48f3393be8cbf4c1bafc0436b2bc66
How researchers see this paper
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In Economics and Econometrics
- J. Wu
- Jens H. E. Christensen
- Glenn D. Rudebusch
- Paolo Porchia
- Andrea Buraschi
- Drew D. Creal
- Fabio Trojani
- Peter N. Ireland
In Finance
- J. Wu
- Jens H. E. Christensen
- Glenn D. Rudebusch
- Drew D. Creal
- Paolo Porchia
- Andrea Buraschi
- Fabio Trojani
- S. J. Koopman
Citations in the corpus
- Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? (2013, background): “This measure is fully nonparametric and has been shown to converge to the underlying realization of the conditional variance as the sampling frequency increases; see Andersen et al. (2003) for details.”
- Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “9 Papers that document the potential existence of USV factors include Heidari and Wu (2003), Li and Zhao (2006), Trolle and Schwartz (2009), and Andersen and Benzoni (2010). 10 We do not consider the case where the eigenvalues may be identical and we restrict our attention to eigenvalues that are le”
- Bond Variance Risk Premia (2012, unknown): “The data runs from October 1982, May 1985 and May 1990 to June 2010 and Jones (2008), Bibkov and Chernov (2009), Trolle and Schwartz (2009), Andersen and Benzoni (2010) and Almeida, Graveline, and Joslin (2010) among others.”
- A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “For instance, Collin-Dufresne and Goldstein (2002a); Heidari and Wu (2003); and Li and Zhao (2006) identify a number of unspanned stochastic volatility factors driving interest rate derivatives that do not affect the term structure, and Andersen and Benzoni (2005) also find unspanned factors in re”
- Correlation Risk and Optimal Portfolio Choice (2010, methodology): “As a first step, we use the methodology proposed by Andersen et al. (2003) to obtain model-free realized volatilities and covariances from daily quadratic variations and covariations of log prices.”