Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
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An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
A 7-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of France Yield Curve, Using Daily Data from January 2, 2015 through January 31, 2022
Donald R. van Deventer[1] First Version: March 8, 2022 This Version: March 8, 2022 ABSTRACT Please note: Kamakura Corporation...
A 7-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Canada Yield Curve, Using Daily Data from January 2, 2001 through February 28, 2022
Donald R. van Deventer[1] First Version: March 8, 2022 This Version: March 8, 2022 ABSTRACT Please note: Kamakura Corporation...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2021
Donald R. van Deventer First Version: January 24, 2022 This Version: January 25, 2022 ABSTRACT Please note: Kamakura...
An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2021
Donald R. van Deventer[1] First Version: December 6, 2021 This Version: December 7, 2021 ABSTRACT Please note: Kamakura...
A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 19, 2021 This Version: October 21, 2021 ABSTRACT Please note: Kamakura...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 12, 2021 This Version: October 13, 2021 ABSTRACT Please note: Kamakura...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through September 30, 2021
Donald R. van Deventer[1] First Version: October 6, 2021 This Version: October 6, 2021 ABSTRACT Please note: Kamakura...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Russia Yield Curve, Using Daily Data from January 4, 2003 through August 31, 2021
Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...
A 7-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Canada Yield Curve, Using Daily Data from January 2, 2001 through August 31, 2021
Donald R. van Deventer[1] First Version: September 21, 2021 This Version: September 22, 2021 ABSTRACT Please note: Kamakura...
A 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve, January 1962 to March 2017: Bayesian Model Validation Given Negative Rates in Japan
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...