Term structure of volatilities and yield curve estimation methodology (original) (raw)
Related papers
Estimating the volatility term structure
Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2010
Term Structure of Volatilities and Estimation Method of the Term Structure of Interest Rates
2008
On estimating the yield and volatility curves
Kybernetika, 1997
intereSt rate volatility a conSol rate-baSed meaSure
Time-Varying Volatility and the Dynamic Behavior of the Term Structure
Journal of Money, Credit and Banking, 1993
International evidence on alternative models of the term structure of volatilities
Journal of Futures Markets, 2009
Volatility model risk measurement and strategies against worst case volatilities
Inferring Volatility from the Yield Curve
Journal of Mathematical Finance, 2015
The US volatility term structure: A principal component analysis
AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2012
Components of volatility and their empirical measures: a note
Applied Financial Economics, 2004
Financial volatility: an introduction
Journal of Applied Econometrics, 2002
Yield Curve Modeling and Forecasting
2013
Predictive Ability of the Volatility Yield Curve
THE NELSON–SIEGEL MODEL OF THE TERM STRUCTURE OF OPTION IMPLIED VOLATILITY AND VOLATILITY COMPONENTS
2011
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach
Social Science Research Network, 1995
2007
An Assessment of Volatility Models: A Case Study for Borsa Istanbul
2008
An Assessment of Volatility Models: A Case Study for Borsa Istanbul (BIST)
Archives of Business Research, 2015
Purebred or hybrid?: Reproducing the volatility in term structure dynamics
Journal of Econometrics, 2003
Essays on the Modelling of S&P 500 Volatility
Market Volatility, Monetary Policy and the Term Premium
Oxford Bulletin of Economics and Statistics
Multivariate Stochastic Volatility: An Overview
Econometric Reviews, 2006
Chapter 15 Volatility and Correlation Forecasting
Handbook of Economic Forecasting, 2006
Volatility Structures of Forward Rates and the Dynamics of the Term Structure
Mathematical Finance, 1995
Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates
2003
2013
FORECASTING VOLATILITY IN THE STOCK MARKET BMI PAPER
Modelling the dynamic yield curve for the Canadian bond market
Halifax, N.S. : Saint Mary's University, 2020
Review of Derivatives Research, 2009