The multifactor nature of the volatility of futures markets

Chiarella, C; To, T

The multifactor nature of the volatility of futures markets

Chiarella, C To, T

Permalink

Publisher:: Springer New York LLC
Publication Type:: Journal Article
Citation:: Computational Economics, 2006, 27 (2-3), pp. 163 - 183
Issue Date:: 2006-01

Closed Access

	Filename	Description	Size
	2006004617.pdf		1.03 MB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	To, T	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Computational Economics, 2006, 27 (2-3), pp. 163 - 183	en_US
dc.identifier.issn	0927-7099	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5062
dc.description.abstract	This paper estimates a model of interest rate dynamics containing multi-factor Wiener and single-factor Poisson jump volatility components. Data from the highly liquid but short term futures markets are used. The difficult numerical problem of estimating such multi-factor models is resolved by using a genetic algorithm to carry out the optimization procedure. It is established that the multi-factor Wiener volatility components are adequate to model the interest rate dynamics without the need to incorporate Poisson jump components, the existence of which would create difficulties in the practical use of interest rate models.	en_US
dc.publisher	Springer New York LLC	en_US
dc.relation.ispartof	Computational Economics	en_US
dc.subject.classification	Economics	en_US
dc.title	The multifactor nature of the volatility of futures markets	en_US
dc.type	Journal Article
utslib.citation.volume	2-3	en_US
utslib.citation.volume	27	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1499 Other Economics	en_US
utslib.for	1502 Banking, Finance and Investment	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.consider-herdc	true	en_US
pubs.issue	2-3	en_US
pubs.volume	27	en_US

Abstract:

This paper estimates a model of interest rate dynamics containing multi-factor Wiener and single-factor Poisson jump volatility components. Data from the highly liquid but short term futures markets are used. The difficult numerical problem of estimating such multi-factor models is resolved by using a genetic algorithm to carry out the optimization procedure. It is established that the multi-factor Wiener volatility components are adequate to model the interest rate dynamics without the need to incorporate Poisson jump components, the existence of which would create difficulties in the practical use of interest rate models.

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

http://hdl.handle.net/10453/5062