Article ID Journal Published Year Pages File Type
5089484 Journal of Banking & Finance 2012 20 Pages PDF
Abstract
► Interest rates risk is varying over time and predictable. ► Interest rate risk is parsimoniously captured by stochastic volatility in a factor model. ► Factor volatilities predict macroeconomic variables and their conditional variances. ► Macroeconomic state variables predict yield factors.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
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