Predicting Interest Rate Volatility: Using Information on the Yield Curve

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This is a revised version of http://hdl.handle.net/10086/25350

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Summary, etc.：: This study examines whether information on the yield curve is useful for predicting volatility of the yield curve. The information is used within dyna...

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Material Type: 文書・図像類
Title: Predicting Interest Rate Volatility: Using Information on the Yield Curve
Author/Editor: 髙見澤, 秀幸
Author Heading: 髙見澤, 秀幸
Publication, Distribution, etc.: Hitotsubashi University Center for Financial Research
Publication Date: 2015-05-08
Publication Date (W3CDTF): 2015-05-08
Text Language Code: eng
Subject Heading: Yield curve
Volatility
Level-dependence
Approximation of conditional moments
Target Audience: 一般
Note (General): This version: May 8, 2015
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26943/070hcfrWP_1_009.pdf
Access Restrictions: インターネット公開
Related Material: This is a revised version of http://hdl.handle.net/10086/25350
Periodical Title: Working Paper Series ; No. G-1-9
Replaces (URI): HDL
http://hdl.handle.net/10086/25350
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources