Term Structure Models Can Predict Interest Rate Volatility. But How?
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References listed on IDEAS
- Goeree, Jacob K. & Holt, Charles A. & Palfrey, Thomas R., 2002.
"Quantal Response Equilibrium and Overbidding in Private-Value Auctions,"
Journal of Economic Theory,
Elsevier, vol. 104(1), pages 247-272, May.
- Palfrey, Thomas R. & Goeree, Jacob & Holt, Charles, 2000. "Quantal Response Equilibrium and Overbidding in Private-value Auctions," Working Papers 1073, California Institute of Technology, Division of the Humanities and Social Sciences.
- Thomas Palfrey, 2002. "Quantal Response Equilibrium and Overbidding in Private Value Auctions," Theory workshop papers 357966000000000089, UCLA Department of Economics.
- Jacob K. Goeree & Charles A. Holt & Thomas R. Palfrey, 2000. "Quantal Response Equilibrium and Overbidding in Private-Value Auctions," Virginia Economics Online Papers 345, University of Virginia, Department of Economics.
- Hong, Chew Soo & Nishimura, Naoko, 2003. "Revenue non-equivalence between the English and the second-price auctions: experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 51(4), pages 443-458, August.
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- Takamizawa, Hideyuki, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-CBA-2010-12-18 (Central Banking)
- NEP-FMK-2010-12-18 (Financial Markets)
- NEP-FOR-2010-12-18 (Forecasting)
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