The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison

Chiarella, C; Tô, TD

The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison

Chiarella, C Tô, TD

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Publication Type:: Journal Article
Citation:: Journal of Futures Markets, 2003, 23 (12), pp. 1125 - 1158
Issue Date:: 2003-12-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Tô, TD	en_US
dc.date.issued	2003-12-01	en_US
dc.identifier.citation	Journal of Futures Markets, 2003, 23 (12), pp. 1125 - 1158	en_US
dc.identifier.issn	0270-7314	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5297
dc.description.abstract	We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixed-income markets. The model is formulated under the Heath, Jarrow, & Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of Poisson noises, each associated with a time deterministic volatility function. We derive the evolution of the futures price and use this evolution to estimate the model parameters via the likelihood transformation technique of Duan (1994). We apply the method to the short-term futures contracts traded on CME, SFE, LIFFE, and TIFFE, and find that each market is characterized by very different behavior. © 2003 Wiley Periodicals, Inc.	en_US
dc.relation	http://purl.org/au-research/grants/arc/A00103864
dc.relation.ispartof	Journal of Futures Markets	en_US
dc.relation.isbasedon	10.1002/fut.10105	en_US
dc.subject.classification	Finance	en_US
dc.title	The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison	en_US
dc.type	Journal Article
utslib.citation.volume	12	en_US
utslib.citation.volume	23	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	150205 Investment and Risk Management	en_US
utslib.for	140199 Economic Theory not elsewhere classified	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	12	en_US
pubs.publication-status	Published	en_US
pubs.volume	23	en_US

Abstract:

We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixed-income markets. The model is formulated under the Heath, Jarrow, & Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of Poisson noises, each associated with a time deterministic volatility function. We derive the evolution of the futures price and use this evolution to estimate the model parameters via the likelihood transformation technique of Duan (1994). We apply the method to the short-term futures contracts traded on CME, SFE, LIFFE, and TIFFE, and find that each market is characterized by very different behavior. © 2003 Wiley Periodicals, Inc.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/5297