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題名 Predictive power of the implied volatility term structure in the fixed-income market
作者 謝沛霖
Hsieh, Pei-Lin;Chen, Ren-Raw;Huang, Jeffrey;Li, Xiaowei
貢獻者 財管系
關鍵詞 CHH model; excess bond return; LIBOR market; yield curve
日期 2022-11
上傳時間 2024-09-11
摘要 We apply the interest rate model of Chen, Hsieh, and Huang (CHH), the CHH model, to explore the implied volatility (IV) term structure's predictive power for bond excess returns. The CHH model has two advantages over existing models: (1) it delivers the IV of the interest rate, rather than the volatility of the swap rate on which the conventional swaption pricing model is built, and (2) the CHH model systematically summarizes 100 swaption prices into a volatility term structure with 10 succinct IVs. By exploiting these advantages, we demonstrate the IV term structure's predictive power and its connection to economic conditions.
關聯 Journal of Futures Markets, Vol.43, No.3, pp.349-383
資料類型 article
DOI https://doi.org/10.1002/fut.22386
dc.contributor 財管系
dc.creator (作者) 謝沛霖
dc.creator (作者) Hsieh, Pei-Lin;Chen, Ren-Raw;Huang, Jeffrey;Li, Xiaowei
dc.date (日期) 2022-11
dc.date.accessioned 2024-09-11-
dc.date.available 2024-09-11-
dc.date.issued (上傳時間) 2024-09-11-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153755-
dc.description.abstract (摘要) We apply the interest rate model of Chen, Hsieh, and Huang (CHH), the CHH model, to explore the implied volatility (IV) term structure's predictive power for bond excess returns. The CHH model has two advantages over existing models: (1) it delivers the IV of the interest rate, rather than the volatility of the swap rate on which the conventional swaption pricing model is built, and (2) the CHH model systematically summarizes 100 swaption prices into a volatility term structure with 10 succinct IVs. By exploiting these advantages, we demonstrate the IV term structure's predictive power and its connection to economic conditions.
dc.format.extent 97 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Journal of Futures Markets, Vol.43, No.3, pp.349-383
dc.subject (關鍵詞) CHH model; excess bond return; LIBOR market; yield curve
dc.title (題名) Predictive power of the implied volatility term structure in the fixed-income market
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1002/fut.22386
dc.doi.uri (DOI) https://doi.org/10.1002/fut.22386