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Identifier to cite or link to this item: https://hdl.handle.net/10086/25350

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Title
Predicting Interest Rate Volatility: Using Information on the Yield Curve
Creator
Creator Name
Takamizawa, Hideyuki Takamizawa, Hideyuki
髙見澤, 秀幸 髙見澤, 秀幸
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Dynamic Gaussian model
Term structure
Level-dependence
Realized volatility
Approximation of conditional moments
Publisher
Hitotsubashi University Center for Financial Research
Issued Date
2012-02
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working Paper Series ; No. G-1-3
Is Replaced ByRelation -
Related Identifier
HDL
  http://hdl.handle.net/10086/26943
Relation
Related Title
This version has been revised. The new version is available at http://hdl.handle.net/10086/26943.
Number of Pages
32
Appears in Collections
Working Paper Series / Hitotsubashi University Center for Financial Research
URL
https://hdl.handle.net/10086/25350