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The Multifactor Nature of the Volatility of Futures Markets

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Author Info
Carl Chiarella ()
Thuy-Duong Tô ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-006-9023-9
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 27 (2006)
Issue (Month): 2 (May)
Pages: 163-183
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:compec:v:27:y:2006:i:2:p:163-183

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: term structure; volatility; mutlifactor; jump; Eurodollar futures; futures markets; genetic algorithm;

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References listed on IDEAS
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  1. Jegadeesh, Narasimhan & Pennacchi, George G, 1996. "The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 426-46, August. [Downloadable!] (restricted)
  2. To, Thuy Duong & Carl Chiarella, 2003. "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003 205, Royal Economic Society. [Downloadable!]
  3. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
  4. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January. [Downloadable!] (restricted)
  5. Amin, Kaushik I. & Morton, Andrew J., 1994. "Implied volatility functions in arbitrage-free term structure models," Journal of Financial Economics, Elsevier, vol. 35(2), pages 141-180, April. [Downloadable!] (restricted)
  6. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(4), pages 687-720.
  7. Aytug, Haldun & Koehler, Gary J., 2000. "New stopping criterion for genetic algorithms," European Journal of Operational Research, Elsevier, vol. 126(3), pages 662-674, November. [Downloadable!] (restricted)
  8. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
  9. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
    Other versions:
  10. Moraleda, Juan M. & Vorst, Ton C. F., 1997. "Pricing American interest rate claims with humped volatility models," Journal of Banking & Finance, Elsevier, vol. 21(8), pages 1131-1157, August. [Downloadable!] (restricted)
  11. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  12. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-82, December. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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