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dc.contributor.authorChiarella, C.en
dc.contributor.authorTo, Thuy Duongen
dc.identifier.citationComputational Economics, 2006; 27 (2-3):163-183en
dc.description© Springeren
dc.description.abstractThis 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.en
dc.publisherSpringer New York LLCen
dc.subjectterm structure; volatility; mutlifactor; jump; Eurodollar futures; futures markets; genetic algorithmen
dc.titleThe multifactor nature of the volatility of futures marketsen
dc.typeJournal articleen
dc.contributor.schoolBusiness Schoolen
Appears in Collections:Business School publications

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