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Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

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Cited by:

  1. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July.
  2. Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo, 2017. "A multifactor stochastic volatility model of commodity prices," Energy Economics, Elsevier, vol. 67(C), pages 182-201.
  3. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
  4. Heidari, Massoud & Wu, Liuren, 2009. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(3), pages 517-550, June.
  5. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  6. Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong, 2014. "Stochastic Skew in the Interest Rate Cap Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1146-1169, December.
  7. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
  8. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  9. Hideyuki Takamizawa, 2010. "Term Structure Models Can Predict Interest Rate Volatility. But How?," Tsukuba Economics Working Papers 2010-008, Faculty of Humanities and Social Sciences, University of Tsukuba.
  10. Ranaldo, Angelo & Rupprecht, Matthias, 2016. "The Forward Premium in Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Sep 2019.
  11. Hölzermann, Julian, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Center for Mathematical Economics Working Papers 633, Center for Mathematical Economics, Bielefeld University.
  12. Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
  13. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  14. Soojin Jo & Rodrigo Sekkel, 2019. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 436-446, July.
  15. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
  16. Antonio Mannolini & Carlo Mari & Roberto Renò, 2008. "Pricing caps and floors with the extended CIR model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 386-400.
  17. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
  18. Caio Almeida & Jos� Vicente, 2012. "Term structure movements implicit in Asian option prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 119-134, February.
  19. Jacobs, Kris & Karoui, Lotfi, 2009. "Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets," Journal of Financial Economics, Elsevier, vol. 91(3), pages 288-318, March.
  20. Amin, Shehryar & Tédongap, Roméo, 2023. "The changing landscape of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 148(C).
  21. Chen, Rui & Du, Ke, 2013. "A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, Elsevier, vol. 10(1), pages 41-48.
  22. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
  23. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
  24. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  25. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
  26. Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
  27. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.
  28. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
  29. Londono, Juan M. & Zhou, Hao, 2017. "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
  30. Drew D. Creal & Jing Cynthia Wu, 2017. "Monetary Policy Uncertainty And Economic Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1317-1354, November.
  31. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.
  32. D’Amico, Stefania & Kim, Don H. & Wei, Min, 2018. "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 395-436, February.
  33. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  34. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
  35. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  36. Robert A Connolly & David Dubofsky & Chris Stivers, 2021. "Economic-State Variation in Uncertainty-Yield Dynamics [Do macro variables, asset markets, or surveys forecast inflation better?]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(1), pages 60-104.
  37. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
  38. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
  39. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2024. "Maximum likelihood estimation of latent Markov models using closed-form approximations," Journal of Econometrics, Elsevier, vol. 240(2).
  40. Damir Filipovic & Martin Larsson & Anders B. Trolle, 2018. "On the Relation Between Linearity-Generating Processes and Linear-Rational Models," Papers 1806.03153, arXiv.org.
  41. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  42. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, October.
  43. Yuecai Han & Fengtong Zhang, 2024. "Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility," Review of Derivatives Research, Springer, vol. 27(1), pages 37-53, April.
  44. Yang-Ho Park, 2015. "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series 2015-71, Board of Governors of the Federal Reserve System (U.S.).
  45. Scott Joslin, 2018. "Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?," Management Science, INFORMS, vol. 64(4), pages 1707-1726, April.
  46. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
  47. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
  48. Christensen, Bent Jesper & Kjær, Mads Markvart & Veliyev, Bezirgen, 2023. "The incremental information in the yield curve about future interest rate risk," Journal of Banking & Finance, Elsevier, vol. 155(C).
  49. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
  50. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
  51. Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2020. "Forecasting output growth using a DSGE-based decomposition of the South African yield curve," Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
  52. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013. "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-28.
  53. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  54. Igor Halperin & Andrey Itkin, 2013. "USLV: Unspanned Stochastic Local Volatility Model," Papers 1301.4442, arXiv.org, revised Mar 2013.
  55. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  56. Igor Ferreira Batista Martins & Hedibert Freitas Lopes, 2023. "Stochastic volatility models with skewness selection," Papers 2312.00282, arXiv.org.
  57. Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023. "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, vol. 150(3).
  58. Sami Attaoui, 2011. "Hedging performance of the Libor market model: the cap market case," Applied Financial Economics, Taylor & Francis Journals, vol. 21(16), pages 1215-1223.
  59. Hideyuki Takamizawa, 2018. "A term structure model of interest rates with quadratic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1173-1198, July.
  60. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
  61. Anders B. Trolle & Eduardo S. Schwartz, 2006. "A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives," NBER Working Papers 12337, National Bureau of Economic Research, Inc.
  62. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  63. Jensen, Malene Shin & Svenstrup, Mikkel, 2002. "Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model," Finance Working Papers 02-23, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  64. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
  65. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society.
  66. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242.
  67. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
  68. Don H. Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.).
  69. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
  70. W. Keener Hughen, 2010. "A maximal affine stochastic volatility model of oil prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(2), pages 101-133, February.
  71. repec:wyi:journl:002109 is not listed on IDEAS
  72. Almeida, Caio & Vicente, José, 2009. "Identifying volatility risk premia from fixed income Asian options," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
  73. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
  74. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 519-544.
  75. Joslin, Scott & Konchitchki, Yaniv, 2018. "Interest rate volatility, the yield curve, and the macroeconomy," Journal of Financial Economics, Elsevier, vol. 128(2), pages 344-362.
  76. Gonzalo Cortazar & Simon Gutierrez & Hector Ortega, 2016. "Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 457-487, May.
  77. Haitao Li & Feng Zhao, 2009. "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4335-4376, November.
  78. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2333-2345, December.
  79. Julian Holzermann, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Papers 2003.04606, arXiv.org, revised Nov 2021.
  80. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
  81. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
  82. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
  83. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011, January-A.
  84. Scott Joslin & Anh Le, 2021. "Interest Rate Volatility and No-Arbitrage Affine Term Structure Models," Management Science, INFORMS, vol. 67(12), pages 7391-7416, December.
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  86. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
  87. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  88. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  89. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
  90. Jonathan H. Wright, 2011. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, vol. 101(4), pages 1514-1534, June.
  91. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
  92. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  93. Svenstrup, Mikkel, 2005. "On the suboptimality of single-factor exercise strategies for Bermudan swaptions," Journal of Financial Economics, Elsevier, vol. 78(3), pages 651-684, December.
  94. Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
  95. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  96. Don H Kim, 2007. "Challenges in macro-finance modeling," BIS Working Papers 240, Bank for International Settlements.
  97. Anders B. Trolle & Eduardo S. Schwartz, 2010. "An Empirical Analysis of the Swaption Cube," NBER Working Papers 16549, National Bureau of Economic Research, Inc.
  98. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
  99. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  100. Alexander David & Pietro Veronesi, 2013. "What Ties Return Volatilities to Price Valuations and Fundamentals?," Journal of Political Economy, University of Chicago Press, vol. 121(4), pages 682-746.
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  102. Yin, Ximing & Yang, Ge, 2024. "Instantaneous volatility of the yield curve, variance risk premium and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 77(C).
  103. Christiansen, Charlotte & Lund, Jesper, 2002. "Revisiting the shape of the yield curve: the effect of interest rate volatility," Finance Working Papers 02-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  104. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
  105. Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
  106. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
  107. Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
  108. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
  109. Takamizawa, Hideyuki & 高見澤, 秀幸, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Hitotsubashi University Center for Financial Research.
  110. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016. "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 127-152, February.
  111. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2024. "Modeling volatility in dynamic term structure models," Journal of Financial Economics, Elsevier, vol. 161(C).
  112. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
  113. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  114. Damir Filipovi'c & Martin Larsson & Francesco Statti, 2017. "Unspanned Stochastic Volatility in the Multi-factor CIR Model," Papers 1705.02789, arXiv.org, revised Apr 2018.
  115. Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015. "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 256-265.
  116. Takamizawa, Hideyuki, 2022. "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 205-223.
  117. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
  118. Lioui, Abraham, 2007. "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1185-1216, April.
  119. Gregory R. Duffee, 2011. "Information in (and not in) the Term Structure," The Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 2895-2934.
  120. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  121. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
  122. Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.
  123. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance 0207010, University Library of Munich, Germany, revised 10 Sep 2002.
  124. Ruslan Bikbov & Mikhail Chernov, 2009. "Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," Management Science, INFORMS, vol. 55(8), pages 1292-1305, August.
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