arXiv Open Access 2024

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

Dennis Schroers

Lihat Sumber

Abstrak

In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions. We apply this method in an empirical study which suggests that a high number of factors is needed to describe the term structure evolution and that the term structure of volatility varies over time.

Topik & Kata Kunci

q-fin.ST econ.EM q-fin.MF

Penulis (1)

Dennis Schroers

Format Sitasi

APA MLA BibTeX

Schroers, D. (2024). Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. https://arxiv.org/abs/2406.19412

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2024
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓