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Geometric information of yield curve, unspanned stochastic volatility, and affine heath-jarrow-morton models.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Geometric information of yield curve, unspanned stochastic volatility, and affine heath-jarrow-morton models./
作者:	Wang, Qingbin.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2014,
面頁冊數:	163 p.
附註:	Source: Dissertations Abstracts International, Volume: 76-04, Section: A.
Contained By:	Dissertations Abstracts International76-04A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3633679
ISBN:	9781321137934

Geometric information of yield curve, unspanned stochastic volatility, and affine heath-jarrow-morton models.
Wang, Qingbin.

Geometric information of yield curve, unspanned stochastic volatility, and affine heath-jarrow-morton models. - Ann Arbor : ProQuest Dissertations & Theses, 2014 - 163 p.

Source: Dissertations Abstracts International, Volume: 76-04, Section: A.

Thesis (Ph.D.)--State University of New York at Albany, 2014.

This item must not be added to any third party search indexes.

The differences between the daily routine of fitting the yield curve (or equivalently, the forward rate curve) and the dynamic affine term structure modeling practice serve their own purposes even though they both work on the same object, the term structure of interest rates. Curve fitting models use parameterizations of the yield curve with parameters labeled as level, slope, and curvature depending on their parameter loadings. They are static and descriptive, while the dynamic affine term structure models are dynamic and theoretically consistent, or arbitrage-free. Recently, attempts to use the geometric information of curve fitting models to improve the empirical performance of affine term structure models have been carried out. This paper contributes to this line of research by joining together the curve fitting models and dynamic affine models. Unlike most affine short rate models, we develop multifactor affine Heath-Jarrow-Morton (HJM) forward rate models with general forms of volatility. This makes those attempts with short rate models special cases of our models. The factors in our models have clear geometric meanings such as level, slope, and curvature. Our model framework is of great flexibility and can be easily extended from Gaussian to various forms of stochastic volatility, either spanned or unspanned. Depending on the forward rate volatility, the factors in our model can form either composite (correlated) or independent level, slope, and curvature of the forward rate curve. The paper also proposes a consistent Augmented Nelson-Siegel (ANS) model, which is more parsimonious and has three factors represent independent level, slope, and curvature of the forward rate curve. Various model specifications are implemented in two empirical studies. One uses U.S. Treasury yields and the other uses LIBOR and swap rates. We also suggest a statistic called information utilization, which is used to study how investors respond to market situations. The in-depth examination of the extracted factors and their geometric meanings shows that the movement patterns of the yield factors behave differently after the 2008 financial crisis, a clear indication of structural change. The analysis of information utilization also shows its potential to identify business cycle.

ISBN: 9781321137934Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Affine model

Geometric information of yield curve, unspanned stochastic volatility, and affine heath-jarrow-morton models.
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506 $a This item must not be sold to any third party vendors.
520 $a The differences between the daily routine of fitting the yield curve (or equivalently, the forward rate curve) and the dynamic affine term structure modeling practice serve their own purposes even though they both work on the same object, the term structure of interest rates. Curve fitting models use parameterizations of the yield curve with parameters labeled as level, slope, and curvature depending on their parameter loadings. They are static and descriptive, while the dynamic affine term structure models are dynamic and theoretically consistent, or arbitrage-free. Recently, attempts to use the geometric information of curve fitting models to improve the empirical performance of affine term structure models have been carried out. This paper contributes to this line of research by joining together the curve fitting models and dynamic affine models. Unlike most affine short rate models, we develop multifactor affine Heath-Jarrow-Morton (HJM) forward rate models with general forms of volatility. This makes those attempts with short rate models special cases of our models. The factors in our models have clear geometric meanings such as level, slope, and curvature. Our model framework is of great flexibility and can be easily extended from Gaussian to various forms of stochastic volatility, either spanned or unspanned. Depending on the forward rate volatility, the factors in our model can form either composite (correlated) or independent level, slope, and curvature of the forward rate curve. The paper also proposes a consistent Augmented Nelson-Siegel (ANS) model, which is more parsimonious and has three factors represent independent level, slope, and curvature of the forward rate curve. Various model specifications are implemented in two empirical studies. One uses U.S. Treasury yields and the other uses LIBOR and swap rates. We also suggest a statistic called information utilization, which is used to study how investors respond to market situations. The in-depth examination of the extracted factors and their geometric meanings shows that the movement patterns of the yield factors behave differently after the 2008 financial crisis, a clear indication of structural change. The analysis of information utilization also shows its potential to identify business cycle.
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