The implied volatility of U.S. interest rates: evidence from callable U. S. Treasuries

Research, Preprint OPEN
Robert R. Bliss; Ehud I. Ronn;
  • Publisher: Atlanta, GA: Federal Reserve Bank of Atlanta
  • Subject: Government securities ; Interest rates ; Treasury bills | Interest rates | Treasury bills | Government securities
    • ddc: ddc:330

The prices for callable U.S. Treasury securities provide the sole source of evidence concerning the implied volatility of interest rates over the extended 1926-1994 period. This paper uses the prices of callable as well as non-callable Treasury instruments to estimate i... View more
Share - Bookmark