Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

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Quantifying the Long-Term Impact of Negative Word of Mouth on Cash Flows and Stock Prices (2009, background): “These wearin and wear-out effects can be explained by Little’s (1979, p. 635) theory, which holds that advertising response models should capture the dynamic effects of forgetting (i.e., wear-out or the decay in adverting quality with diminishing impact over time). In addition, the advertising effec”
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “9Papers 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).”
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”