The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
N Deguillaume, R Rebonato, A Pogudin - Quantitative Finance, 2013 - Taylor & Francis
We look at the dependence of the magnitude of rate moves on the level of rates, and we find
a universal relationship that holds across currencies and over a very extended period of time …
a universal relationship that holds across currencies and over a very extended period of time …
Robust GMM analysis of models for the short rate process
R Dell'Aquila, E Ronchetti, F Trojani - Journal of Empirical finance, 2003 - Elsevier
We re-examine the empirical evidence concerning a well-known class of one-factor models
for the short rate process (cf. Chan et al.[Journal of Finance 47 (1992) 1209](CKLS)) and …
for the short rate process (cf. Chan et al.[Journal of Finance 47 (1992) 1209](CKLS)) and …