The multifactor nature of the volatility of futures markets
Date
2006
Authors
Chiarella, C.
To, Thuy Duong
Editors
Advisors
Journal Title
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Volume Title
Type:
Journal article
Citation
Computational Economics, 2006; 27 (2-3):163-183
Statement of Responsibility
Conference Name
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.
School/Discipline
Business School
Dissertation Note
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© Springer