Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/203202 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
IES Working Paper No. 17/2018
Verlag: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Zusammenfassung: 
Understanding of volatility term structure is highly relevant both for market agents and policymakers. As traditional methodologies often bring results contradicting situation on the markets, we revisit volatility term structure modeling in univariate case. In this paper we benefit from extensive high-frequency dataset of US Treasury futures prices allowing us to empirically inspect the behaviour of the respective realized volatility term structure. We believe that the discovered properties justify the application of multi-factor modeling techniques primarily developed for yield curves. Finally we develop the comprehensive methodology fitting empirical data efficiently by term structure decomposition using Nelson-Siegel class of models.
Schlagwörter: 
Realized volatility
Term structure
Dynamic Nelson-Siegel model
Highfrequency data
Dokumentart: 
Working Paper

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