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Title
Impact of No-arbitrage on Interest Rate Dynamics
Creator
Creator Name
Takamizawa, Hideyuki Takamizawa, Hideyuki
高見澤, 秀幸 高見澤, 秀幸
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Term structure
Interest rate
Volatility
Non-affine model
Approximation
Abstract
By imposing no-arbitrage condition (NAC), the volatility of changes in interest rates is linked to the cross-section of interest rates. Due to this link, the cross-section may have impact on estimation and rediction of volatility using interest rate data. Furthermore, the volatility may have impact on identi cation of latent factors from the cross-section. In this study, these impacts arising from the NAC are examined, and found to be minor or mitigated without much difficulty. It follows that the resulting dynamics of interest rates do not differ much between estimation with and without imposing the NAC.
Publisher
Hitotsubashi University Center for Financial Research
Issued Date
2015-05-17
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-1-5
Number of Pages
71
Appears in Collections
Working Paper Series / Hitotsubashi University Center for Financial Research
URL
https://hdl.handle.net/10086/25894