Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
利用日内数据计算的无模型收益率二次变差，检验发现美国国债收益率曲线无法覆盖已实现收益率波动，表明仿射扩散、二次高斯及仿射跳跃扩散模型均无法描述波动动态，国债市场本身不完整，仅靠国债无法对冲波动风险。
ABSTRACT We propose using model‐free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross‐section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump‐diffusive models cannot accommodate the observed yield volatility dynamics. Hence, the Treasury market per se is incomplete, as yield volatility risk cannot be hedged solely through Treasury securities.