| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10756 |
| 来源ID | Working Paper 10756 |
| Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility | |
| Pierre Collin-Dufresne; Christopher S. Jones; Robert S. Goldstein | |
| 发表日期 | 2004-09-13 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH estimate of the quadratic variation of the spot rate process. We then investigate affine models that exhibit "unspanned stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai and Singleton (2001). This representation has several advantages, including: (I) the state variables have simple physical interpretations such as level, slope and curvature, (ii) their dynamics remain affine and tractable, (iii) the model is econometrically identifiable, (iv) model-insensitive estimates of the state vector process implied from the term structure are readily available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to exhibit USV. |
| 主题 | Financial Economics ; Financial Markets ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w10756 |
| 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/568388 |
| 推荐引用方式 GB/T 7714 | Pierre Collin-Dufresne,Christopher S. Jones,Robert S. Goldstein. Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility. 2004. |
| 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 | ||
| w10756.pdf（1273KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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