HERMES-IR : Research & Education Resources

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ファイル	フォーマット	サイズ	閲覧回数	説明
cover_25350	pdf
070hcfrWP_1_003	pdf	1.96 MB	1,275

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	英語(eng)
Resource Type	technical report（テクニカルレポート）
Version Type	VoR
Relation - Is Part Of	Related Title Working Paper Series ; No. G-1-3
Relation - Is Replaced By	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