Information in the term structure of yield curve volatility
Cieslak, A.; Povala, Pavol;
Publisher: Birkbeck College, University of London
We study information in the volatility of US Treasuries. We propose a no-arbitrage term structure model with a stochastic covariance of risks in the economy, and estimate it using high-frequency data and options. We identify volatilities of the expected short rate and o... View more
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