Option-Based Tests of Interest Rate Diffusion Functions
The consistent finding in papers that estimate the interest rate diffusion function is that interest rate volatility is an increasing function of the spot rate. This paper introduces and implements regression tests of monotonic diffusion functions using an implied volatility proxy for objective volatility.
|Date of creation:||Jun 1999|
|Date of revision:|
|Contact details of provider:|| Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126|
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Web page: http://w4.stern.nyu.edu/finance/
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