Open AccessCan Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
Author(s) -
Pierre CollinDufresne,
Christopher S. Jones,
Robert S. Goldstein
Publication year - 2004
Language(s) - English
Resource type - Reports
DOI - 10.3386/w10756
Subject(s) - stochastic volatility , volatility (finance) , economics , bond , econometrics , implied volatility , volatility swap , forward volatility , volatility smile , financial economics , finance