A Joint Model for the Term Structure of Interest Rates and Realized Volatility
提出了一个无套利债券收益率与已实现债券市场波动的联合期限结构模型，基于已实现收益率曲线协方差与GARCH型条件协方差的关系，用于分析条件协方差定价、多步预测及利率风险量化。
Abstract This paper presents a term structure model for no-arbitrage bond yields and realized bond market volatility. Based on well-known results, realized yield curve covariation is linked to generalized autoregressive conditional heteroskedasticity (GARCH)-type conditional covariation. The model is tractable and its latent state variables can be filtered using an exact algorithm. In an empirical study of U.S. Treasury bond data, the model shows that conditional yield curve covariation is priced in long-term yields. Moreover, the model proves useful for multi-step ahead forecasting of realized covariation. Finally, I use the model to quantify interest-rate risk and risk compensation.