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Ball et al., 1999 - Google Patents

The stochastic volatility of short‐term interest rates: Some international evidence

Ball et al., 1999

Document ID
15675519925168695594
Author
Ball C
Torous W
Publication year
Publication venue
The Journal of Finance

External Links

Snippet

This paper estimates a stochastic volatility model of short‐term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a number of countries and reliable evidence of stochastic volatility is found throughout. In contrast to stock returns …
Continue reading at onlinelibrary.wiley.com (other versions)

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