Do bonds span volatility risk in the U.S. treasury market? A specification test for affine term structure models.

Do bonds span volatility risk in the U.S. treasury market? A specification test for affine term structure models.

Détails bibliographiques
Publié dans:Journal of Finance V. 65, 1-6 (2010).
Auteur principal: Andersen, Torben G.
Format: Article
Langue:English
Sujets:
Volatility.
Yield.
Risk assessment.
Treasury bonds.