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Type: Journal 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
DOI: 10.1007/s10614-006-9023-9
Appears in Collections:Business School publications

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