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KeywordsStochastic Volatility; Realized Volatility; Implied Volatility; Options; Volatility Smirk; Volatility Smile; Dynamic Term Structure Models; Affine Models;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-ECM-2010-03-20 (Econometrics)
- NEP-ETS-2010-03-20 (Econometric Time Series)
- NEP-FOR-2010-03-20 (Forecasting)
- NEP-MAC-2010-03-20 (Macroeconomics)
- NEP-ORE-2010-03-20 (Operations Research)
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