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Adelaide Research and Scholarship
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Business School
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Business School
Permanent link to this item:
http://hdl.handle.net/2440/35932
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| Type: | Article |
| Title: | The multifactor nature of the volatility of futures markets |
| Author: | Chiarella, C.
To, Thuy Duong |
| Citation: | Computational Economics, 2006; 27 (2-3):163-183 |
| Publisher: | Springer New York LLC |
| Issue Date: | 2006 |
| ISSN: | 0927-7099 |
| School/Discipline: | Business School |
| Abstract: | This paper estimates a model of interest rate dynamics containing multi-factor Wiener and single-factor Poisson jump volatility components. Data from the highly liquid but short term futures markets are used. The difficult numerical problem of estimating such multi-factor models is resolved by using a genetic algorithm to carry out the optimization procedure. It is established that the multi-factor Wiener volatility components are adequate to model the interest rate dynamics without the need to incorporate Poisson jump components, the existence of which would create difficulties in the practical use of interest rate models. |
| Keywords: | term structure; volatility; mutlifactor; jump; Eurodollar futures; futures markets; genetic algorithm |
| Description: | © Springer |
| RMID: | 0020062536 |
| DOI: | 10.1007/s10614-006-9023-9 |
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| Appears in Collections: | Business School
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| View citing articles in: | Google Scholar
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