Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

• Tác giả: Dennis Schroers
• Ngôn ngữ: eng
• Ký hiệu phân loại: 221.2 Old Testament (Tanakh)
• Thông tin xuất bản: 2024
• Bộ sưu tập: Báo, Tạp chí
• ID: 203191

Tóm tắt

Comment: arXiv admin note: substantial text overlap with arXiv:2401.16286In 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.