Open AccessDo Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
Author(s) -
Torben G. Andersen,
Luca Benzoni
Publication year - 2007
Language(s) - English
Resource type - Reports
DOI - 10.3386/w12962
Subject(s) - treasury , volatility (finance) , affine term structure model , affine transformation , term (time) , econometrics , bond , economics , financial economics , monetary economics , mathematics , yield curve , finance , history , physics , archaeology , quantum mechanics , pure mathematics