Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

By Massoud Heidari, Liuren Wu. 2003

141 citations recorded by the source corpus.

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On the geometry of the term structure of interest rates (2004, background): “According to [18] there are two groups of practitioners in the fixed income market.”
Bond Variance Risk Premia (2012, unknown): “As shown in Jiang and Tian (2005), a truncated version of the integral over (19)For robustness checks, we also implement this method and denote the resulting implied variance measure SIV.”
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009, methodology): “Using regression approaches similar to the one applied in this paper, Collin-Dufresne and Goldstein (2002) and Heidari and Wu (2003) document the presence of unspanned stochastic volatility in the fixed-income market.”
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “Relation to Joslin et al. (2011) and Hamilton and Wu (2012) Both Joslin et al.”