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A multifactor, nonlinear, continuous-time model of interest rate volatility

Author: Jacob Boudoukh; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1999.
Series: Working paper series (National Bureau of Economic Research), working paper no. 7213.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: 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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jacob Boudoukh; National Bureau of Economic Research.
OCLC Number: 70121382
Notes: "July 1999."
Description: 1 online resource (40 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 7213.
Other Titles: Model of interest rate volatility
Responsibility: Jacob Boudoukh [and others].

Abstract:

Abstract: 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.

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