Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
提出一种非参数且稳健的方法分析债券价格协方差，在最小假设下识别债券市场统计相关因子数量，实证发现需要较多因子描述期限结构演化且波动率期限结构随时间变化。
ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions. We apply our method in an empirical study, which suggests that a high number of factors is needed to describe the term structure evolution and that the term structure of volatility varies over time.