The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models
分析短期利率模型中跳跃的作用，开发检验跳跃误设的方法，用国库券利率数据发现跳跃存在，估计非参数跳跃扩散模型，并考察跳跃对利率期权定价的影响。
ABSTRACT This paper analyzes the role of jumps in continuous‐time short rate models. I first develop a test to detect jump‐induced misspecification and, using Treasury bill rates, find evidence for the presence of jumps. Second, I specify and estimate a nonparametric jump‐diffusion model. Results indicate that jumps play an important statistical role. Estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps. Finally, I investigate the pricing implications of jumps. Jumps generally have a minor impact on yields, but they are important for pricing interest rate options.