Purebred or hybrid ? : Reproducing the volatility in term structure dynamics

@inproceedings{Ahna2000PurebredOH,
  title={Purebred or hybrid ? : Reproducing the volatility in term structure dynamics},
  author={Dong-Hyun Ahna and Robert F. Dittmarc and A. Ronald Gallantd and Bin Gaoe},
  year={2000}
}
  • Dong-Hyun Ahna, Robert F. Dittmarc, +1 author Bin Gaoe
  • Published 2000
This paper investigates the ability of mixtures of a3ne, quadratic, and non-linear models to track the volatility in the term structure of interest rates. Term structure dynamics appear to exhibit pronounced time varying or stochastic volatility. Ahn et al. (Rev. Financial Stud. xx (2001) xxx) provide evidence suggesting that term structure models incorporating a set of quadratic factors are better able to reproduce term structure dynamics than a3ne models, although neither class of models is… CONTINUE READING
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