Do Bonds Span Volatility Risk in the U.S. Treasury Market? a Specification Test for Fine Term Structure Models

Do Bonds Span Volatility Risk in the U.S. Treasury Market? a Specification Test for Fine Term Structure Models
Author: Torben G. Andersen
Publisher:
Total Pages: 57
Release: 2007
Genre:
ISBN:
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Do Bonds Span Volatility Risk in the U.S. Treasury Market? a Specification Test for Fine Term Structure Models
Language: en
Pages: 57

Do Bonds Span Volatility Risk in the U.S. Treasury Market? a Specification Test for Fine Term Structure Models

Authors: Torben G. Andersen
Categories:
Type: BOOK - Published: 2007 - Publisher:

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Do Bonds Span Volatility Risk in the U.S. Treasury Market?
Language: en
Pages: 72

Do Bonds Span Volatility Risk in the U.S. Treasury Market?

Authors: Torben Gustav Andersen
Categories: Government securities
Type: BOOK - Published: 2007 - Publisher:

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We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construc
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
Language: en
Pages: 59

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Authors: Torben G. Andersen
Categories:
Type: BOOK - Published: 2010 - Publisher:

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We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construc
Do Bonds Span Volatility Risks in the U.S. Treasury Market?
Language: en
Pages:

Do Bonds Span Volatility Risks in the U.S. Treasury Market?

Authors: Torben Gustav Andersen
Categories: Economics
Type: BOOK - Published: 2007 - Publisher:

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We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construc
Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
Language: en
Pages: 42

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

Authors: Pierre Collin-Dufresne
Categories:
Type: BOOK - Published: 2011 - Publisher:

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Most models of the term structure are restrictive in that they assume the bond market forms a complete market. That is, they assume all sources of risk affectin