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Time-Varying Volatility and the Dynamic Behavior of the Term Structure

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Author Info
Robert F. Engle
Victor K. Ng

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Abstract

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Publisher Info
Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 91-15.

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Date of creation: Mar 1991
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Handle: RePEc:cdl:ucsdec:91-15

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  1. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA. [Downloadable!]
  2. Blaskowitz, Oliver & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005. "Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach," Economics Working Papers 2005,04, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  3. Rasmus Pilegaard & Alain Durre & Snorre Evjen, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank. [Downloadable!]
  4. Christiansen, Charlotte & Lund, Jesper, 2002. "Revisiting the shape of the yield curve: the effect of interest rate volatility," Finance Working Papers 02-3, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  5. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society. [Downloadable!]
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This page was last updated on 2009-12-13.

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