| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7213 |
| 来源ID | Working Paper 7213 |
| A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility | |
| Jacob Boudoukh; Matthew Richardson; Richard Stanton; Robert F. Whitelaw | |
| 发表日期 | 1999-07-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of thin air,' our processes are generated from the data using approximation methods for multifactor continuous-time Markov processes. In applying this technique to the short- and long-end of the term structure for a general two-factor diffusion process for interest rates, a major finding is that the volatility of interest rates is increasing in the level of interest rates only for sharply upward sloping term structures. In fact, the slope of the term structure plays a larger role in determining the magnitude of the diffusion coefficient. As an application, we analyze the model's implications for the term structure of term premiums. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w7213 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564746 |
| 推荐引用方式 GB/T 7714 | Jacob Boudoukh,Matthew Richardson,Richard Stanton,et al. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7213.pdf（655KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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