Interest Rate Volatility and No-Arbitrage Affine Term Structure Models
研究了无套利条件如何导致动态期限结构模型中条件一阶矩和二阶矩之间的冲突，发现这种冲突源于无套利约束而非因子结构，且在随机波动情形下无套利限制具有重要影响。
Within the affine framework, many have observed a tension between matching conditional first and second moments in dynamic term structure models (DTSMs). Although the existence of this tension is generally accepted, less understood is the mechanism that underlies it. We show that no arbitrage along with the rich information in the cross section of yields has strong implications for both the dynamics of volatility and the forecasts of yields. We show that this link implied by the absence of arbitrage—and not the factor structure per se—underlies the tension between first and second moments found in the literature. Adding to recent research that has suggested that no-arbitrage restrictions are nearly irrelevant in Gaussian DTSMs, our results show that no-arbitrage restrictions are potentially relevant when there is stochastic volatility. This paper was accepted by Gustavo Manso, finance.