The stochastic volatility of short-term interest rates: Some international evidence

Journal of Finance

Volumn 54, Issue 6, 1999, Pages 2339-2359

  Ball, Clifford A ^b   Torous, Walter N ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009917854     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00191     Document Type: Article

References (35)

1. Abramowitz, Milton, and Irene Stegun, 1972, Handbook of Mathematical Functions (Dover Publications, New York).
2. Aït-Sahalia, Yacine, 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies 9, 385-426.
3. Andersen, Torben G., and Jesper Lund, 1997, Estimating continuous time stochastic volatility models of the short term interest rate, Journal of Econometrics 77, 343-377.
4. Balduzzi, Pierluigi, Giuseppe Bertola, and Silverio Foresi, 1997, A model of target changes and the term structure of interest rates, Journal of Monetary Economics 39, 223-249.
5. Balduzzi, Pierluigi, Sanjiv Das, Silverio Foresi, and Rangarajan Sundaram, 1997, Stochastic mean models of the term structure of interest rates, Unpublished manuscript, Harvard University.
6. Ball, Clifford, and Walter Torous, 1996, Unit roots and the estimation of interest rate dynamics, Journal of Empirical Finance 3, 215-238.
7. Brenner, Robin, Richard Harjes, and Kenneth Kroner, 1996, Another look at models of the short-term interest rate, Journal of Financial and Quantitative Analysis 31, 85-107.
8. Chan, K. C., G. Andrew Karolyi, Francis Longstaff, and Anthony Sanders, 1992, The volatility of short-term interest rates: An empirical comparison of alternative models of the term structure of interest rates, Journal of Finance 47, 1209-1227.
9. Cox, John, Jonathan Ingersoll, and Stephen Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-408.
10. Dassios, Angelos, 1993, Asymptotic approximations to stochastic models, Research report #4, Statistics Department, London School of Economics.
11. Duffee, Gregory R., 1996, Idiosyncratic variation of Treasury bill yields, Journal of Finance 51, 527-551.
12. Dybvig, Philip H., 1995, Bond and bond option pricing based on the current term structure, in A. H. Dempster and S. Pliska, eds.: Mathematics of Derivative Securities (Cambridge University Press, Cambridge, U.K.).
13. Edison, Hali J., 1996, The reaction of exchange rates and interest rates to news releases, International Finance discussion paper, Federal Reserve Board, Washington, D.C.
14. Engle, Robert, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.
15. Engle, Robert, and Tim Bollerslev, 1986, Modelling the persistence of conditional variances, Econometric Reviews 5, 1-50.
16. Fahrmeir, Ludwig, 1992, Posterior mode estimation by extended Kalman filtering for multi-variate dynamic generalized linear models, Journal of the American Statistical Association 87, 501-509.
17. Fleming, Michael J., and Eli M. Remolona, 1997, Price formation and liquidity in the US treasury market: Evidence from intraday patterns around announcements, Staff Reports working paper, Federal Reserve Bank of New York.
18. Frühwirth-Schnatter, Sylvia, 1994, Applied state space modelling of non-Gaussian time series using integration-based Kalman filtering, Statistics and Computing 4, 259-269.
19. Gray, Stephen, 1996, Modeling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics 38, 27-62.
20. Harvey, Andrew, 1989, Forecasting, Structural Time Series Models, and the Kalman Filter (Cambridge University Press, Cambridge, U.K.).
21. Harvey, Andrew, Esther Ruiz, and Neil Shephard, 1994, Multivariate stochastic variance models, Review of Economic Studies 61, 247-264.
22. Jacquier, Eric, Nicholas Polson, and Peter Rossi, 1994, Bayesian analysis of stochastic volatility models, Journal of Business and Economic Statistics 12, 57-80.
23. Jones, Charles M., Owen Lamont, and Robin Lumsdaine, 1998, Macroeconomic news and bond market volatility, Journal of Financial Economics 47, 315-337.
24. Kim, Sangjoon, Neil Shephard, and Siddhartha Chib, 1998, Stochastic volatility: Likelihood inference and comparisons with ARCH models, Review of Economic Studies 65, 361-394.
25. Kitagawa, Genshiro, 1987, Non-Gaussian state-space modeling of non-stationary time series, Journal of the American Statistical Association 82, 1032-1063.
26. Koedijk, Kees, François Nissen, Peter Schotman, and Christian Wolff, 1997, The dynamics of short-term interest rate volatility reconsidered, European Finance Review 1, 105-130.
27. Ljung, Greta M., and George E. P. Box, 1978, On a measure of lack of fit in time series models, Biometrika 65, 297-303.
28. Longstaff, Francis, and Eduardo Schwartz, 1992, Interest rate volatility and the term structure: A two-factor general equilibrium model, Journal of Finance 47, 1259-1282.
29. Naik, Vasant, and Moon Lee, 1994, The yield curve and bond option prices with discrete shifts in economic regimes, Unpublished manuscript, University of British Columbia, Vancouver.
30. Nelson, Daniel, 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 347-370.
31. Nowman, Khalid B., 1997, Gaussian estimation of single-factor continuous time models of the term structure of interest rates, Journal of Finance 52, 1695-1706.
32. Phillips, Peter C. B., 1990, Time series regression with a unit root and infinite-variance errors, Econometric Theory 6, 44-62.
33. Sandmann, Gleb, and Siem Koopman, 1996, Maximum likelihood estimation of stochastic volatility models, Discussion paper #248, Financial Markets Group, London School of Economics.
34. Shoji, Isao, and Tohru Ozaki, 1997, Comparative study of estimation methods for continuous time stochastic processes, Journal of Time Series Analysis 18, 485-506.
35. Vuong, Quang H., 1989, Likelihood ratio tests for model selection and non-nested hypotheses, Econometrica 57, 307-333.