Do interest rate options contain information about excess returns?

Journal of Econometrics

Volumn 164, Issue 1, 2011, Pages 35-44

  Almeida, Caio ^a   Graveline, Jeremy J ^b   Joslin, Scott ^c  

^a FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

^b UNIVERSITY OF MINNESOTA   (United States)

^c MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Excess returns; Forecasting; Interest rates; Options; Risk premia

Indexed keywords

EMPIRICAL EVIDENCE; ESTIMATE DYNAMICS; EXCESS RETURNS; INTEREST RATES; OPTION PRICE; OPTIONS; RISK FACTORS; RISK PREMIUM; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODEL; TERM STRUCTURE; TIME VARYING;

COSTS; ECONOMIC ANALYSIS; ESTIMATION; FORECASTING; RISK PERCEPTION; STOCHASTIC SYSTEMS; TIME SERIES;

STOCHASTIC MODELS;

EID: 79960383703     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.02.007     Document Type: Article

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