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4 edition of Can interest rate volatility be extracted from the cross section of bond yields? found in the catalog.

Can interest rate volatility be extracted from the cross section of bond yields?

Pierre Collin Dufresne

Can interest rate volatility be extracted from the cross section of bond yields?

an investigation of unspanned stochastic volatility

by Pierre Collin Dufresne

  • 110 Want to read
  • 36 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Places:
  • United States
    • Subjects:
    • Interest rates -- Econometric models.,
    • Bonds -- United States -- Econometric models.

    • Edition Notes

      StatementPierre Collin-Dufresne, Christopher S. Jones, Robert S. Goldstein.
      SeriesNBER working paper series ;, working paper 10756, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10756.
      ContributionsJones, Christopher S., Goldstein, Robert S., National Bureau of Economic Research.
      Classifications
      LC ClassificationsHB1
      The Physical Object
      FormatElectronic resource
      ID Numbers
      Open LibraryOL3476045M
      LC Control Number2005615502

      Google Scholar Fan, R. If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form. Zhou provides an extension of the popular Black-Litterman model by incorporating information from the data such as the dynamics of how the market moves beyond combining views with equilibrium. Should there be a country risk premium? In other words, there should be low correlation across markets.

      Rapach and Zhou apply the new cross sectional ML methods of Han, He, Rapach and Zhou to time series forecasting, and find they deliver the best empirical results compared with the currently most effective ones. See general information about how to correct material in RePEc. For longer horizons the puzzle disappears and the level, shape and time-series variation of the pricing kernel are in line with standard rational expectation asset pricing models. Finally, we present nonparametric evidence on the economic determinants of the volatility smile. The dynamics of the forward interest rate curve: A formulation with state variables, Journal of Financial and Quantitative Analysis, 34, —

      Review of Financial Studies, 6, — If the standard errors on these estimates make them close to useless, consider how much more noise there is in estimates of historical risk premiums for emerging market equity markets, which often have a reliable history of ten years or less, and very large standard deviations in annual stock returns. Closed-form solutions for term structure derivatives with lognormal interest rates. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.


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Can interest rate volatility be extracted from the cross section of bond yields? by Pierre Collin Dufresne Download PDF Ebook

Quadratic term structure models: theory and evidence. One can even have a person party on the toe of a gigantic Buddha statue overseeing the merging of three rivers or climb along a strenuous 40 mile stone path to Buddhism's Golden Summit on top of Mt.

Which moments to match? Should there be a country risk premium? Google Scholar Piazzesi, M. Google Scholar Bakshi, G. Estimating a Country Risk Premium If country risk is not diversifiable, either because the marginal investor is not globally diversified or because the risk is correlated across markets, we are then left with the task of measuring country risk and estimating country risk premiums.

Review of Financial Studies, — A closed-form solution for options with stochastic volatility with applications to bond and currency options. You can help correct errors and omissions. In the other approach, we estimate the equity risk premium by looking at how market prices for equity and expected cash flows — this is the implied premium approach.

If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form.

Interest Rate Derivatives Pricing with Volatility Smile

Bibliography Primary Literature 1. Is there more risk in investing in a Malaysian or Brazilian stock than there is in investing in the United States. For longer horizons the puzzle disappears and the level, shape and time-series variation of the pricing kernel are in line with standard rational expectation asset pricing models.

The identification of disaster risk has remained a significant challenge due to the rarity of macroeconomic disasters. Mathematical Finance, 7, — We show that the well documented pricing kernel puzzle — that is, the non-monotonicity of the pricing kernel — only exists for short horizons.

To estimate the country risk premium, however, we need to measure country risk convert the country risk measure into a country risk premium, and evaluate how individual companies in that country are exposed to country risk a.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

Guofu Zhou

Risk Premiums in markets with limited history In the last section, we examined the limitations of historical premiums for markets with limited or a volatile history. Review of Financial Studies, 22, — Doshi, H.

Equity in a Brazilian or Malaysian firm can be held by hundreds or thousands of investors, some of whom Can interest rate volatility be extracted from the cross section of bond yields? book hold only domestic stocks in their portfolio, whereas others may have more global exposure.

Whether returns across countries are positively correlated is an empirical question. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

He grew up in Chengdu, the capital of the southwestern province of Sichuan. Bates DS Jumps and stochastic volatility: exchange rate processes implicit in deutsche mark options. Portfolio Choice : Kan and Zhou derive, for the first time, an explicit expression for the expected utility loss under parameter estimation risk for normally-distributed returns.

Rapach and Strauss and Zhou find that the US stock market leads the world markets even at the monthly frequency.

Review of Financial Studies, 21, — This is a preview of subscription content, log in to check access. Google Scholar Duffie, D. Review of Financial Studies, 16, — Even if the marginal investor is globally diversified, there is a second test that has to be met for country risk to not matter.cross-section of corporate bonds.

Chung, Wang, and Wu () consider aggregate volatility as a state variable and find that volatility risk is priced in the cross-section of expected corporate bond 42comusa.com these papers, we study the role of policy uncertainty in asset pricing by.

R. Engle and A. Mistry: "Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness" July 19, There have been widespread claims that credit derivatives such as the credit default swap (CDS) have lowered the cost of firms’ debt financing by creating for.

Given that we found a unified SDF that does a good job pricing the cross-section and time-series of book-to-market sorted stock and maturity-sorted bond returns, a natural question that arises is whether the same SDF model also prices other stock or bond portfolios.

In addition, studying.Collin‐Dufresne P, Goldstein R, Jones CS (b) Can Pdf Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility. Working Paper, UCB, USC, UMN, Minneapolis Google Scholar.cross-section of corporate bonds. Chung, Wang, and Wu () consider aggregate volatility as a state variable and find that volatility risk is priced in the cross-section of expected corporate bond 42comusa.com these papers, we study the role of policy uncertainty in asset pricing by.Collin-Dufresne P, Goldstein R, Jones CS () Can interest ebook volatility be extracted from the cross section of bond yields?

An investigation of unspanned stochastic volatility. Working Paper, UCB, USC, UMN, Minneapolis Google Scholar.