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Do bonds span the fixed income markets ? theory and evidence for unspanned stochastic volatility
Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. However, we find that, in practice, swap rates have limited explanatory power for returns on at-the-money straddles-portfolios mainly exposed to volatility risk. We term this empirical feature "unspanned stochastic volatility" (USV). While USV can be captured within an HJM framework, we demonstrate that bivariate models cannot exhibit USV..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| - | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |