Predicting Interest Rate Volatility: Using Information on the Yield Curve

Hideyuki Takamizawa and 秀幸 髙見澤

No G-1-3, Working Paper Series from Hitotsubashi University Center for Financial Research

Keywords: Dynamic Gaussian model; Term structure; Level-dependence; Realized volatility; Approximation of conditional moments (search for similar items in EconPapers)
Pages: 32 pages
Date: 2012-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/25350/070hcfrWP_1_003.pdf

Related works:
Journal Article: Predicting Interest Rate Volatility Using Information on the Yield Curve (2015)
Working Paper: Predicting Interest Rate Volatility: Using Information on the Yield Curve (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hit:hcfrwp:g-1-3

Access Statistics for this paper

More papers in Working Paper Series from Hitotsubashi University Center for Financial Research Contact information at EDIRC.
Bibliographic data for series maintained by Digital Resources Section, Hitotsubashi University Library ().