Term Structure Models Can Predict Interest Rate Volatility. But How?
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- Hideyuki Takamizawa, 2015.
"Predicting Interest Rate Volatility Using Information on the Yield Curve,"
International Review of Finance,
International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
- 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.
- Takamizawa, Hideyuki, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, 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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