Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
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- Thuy-Duong To, 2004. "A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate," Research Paper Series 149, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
KeywordsTerm structure; Heath-Jarrow-Morton; Yield curve; Forward rate volatility function; Estimation bias; FIML; Likelihood transformation; Futures contracts;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- 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
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-05 (All new papers)
- NEP-CFN-2004-09-05 (Corporate Finance)
- NEP-ECM-2004-09-05 (Econometrics)
- NEP-ETS-2004-09-05 (Econometric Time Series)
- NEP-FIN-2004-09-05 (Finance)
- NEP-FMK-2004-09-05 (Financial Markets)
- NEP-RMG-2004-09-05 (Risk Management)
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